Results 251 to 260 of about 106,193 (320)

Target–Attackers–Defenders Linear–Quadratic Exponential Stochastic Differential Games With Distributed Control

IEEE Transactions on Cybernetics
This article investigates stochastic differential games involving multiple attackers, defenders, and a single target, with their interactions defined by a distributed topology.
Guilu Li, Jianan Wang, Fuxiang Liu, Fang Deng   +3 more
semanticscholar   +1 more source

Stochastic differential portfolio games

Journal of Applied Probability, 1998
We study stochastic dynamic investment games in continuous time between two investors (players) who have available two different, but possibly correlated, investment opportunities. There is a single payoff function which depends on both investors’ wealth processes.
openaire   +1 more source

Stochastic Differential Games

2019
In this section we present the dynamic programming approach to stochastic differential games. We only present the case for zero sum games. For the extension to non-zero sum games, we refer to [MO].
Bernt Øksendal, Agnès Sulem
openaire   +1 more source

Long-Time Behavior of Zero-Sum Linear-Quadratic Stochastic Differential Games

SIAM Journal of Control and Optimization
The paper investigates the long-time behavior of zero-sum linear-quadratic stochastic differential games, aiming to demonstrate that, under appropriate conditions, both the saddle strategy and the optimal state process exhibit the exponential turnpike ...
Jingrui Sun, Jiongmin Yong
semanticscholar   +1 more source

Nash Equilibrium for Multi-Player Regime Switching Stochastic Differential Games

American Control Conference
In this study, we consider multi-player stochastic differential games with regime switching in the player dynamics modeled by a Markov chain with a finite state space.
Mingrui Wang, Prakash Chakraborty
semanticscholar   +1 more source

An Inverse Problem for Adaptive Linear Quadratic Stochastic Differential Games

IEEE Conference on Decision and Control
In this paper, we consider an inverse problem for adaptive two-player stochastic linear quadratic differential games where the cost functions of players are unknown to each other, which arise in many practical situations but have rarely been explored ...
Zhixing Chen, Lei Guo
semanticscholar   +1 more source

Stochastic Differential Game Techniques

1981
The paper deals with the theory of stochastic differential games and includes a comprehensive review of the subject under discussion. The main aspects of stochastic differential games discussed in the paper are: problem formulation, solution concepts and the difficulties encountered in trying to obtain a solution.
openaire   +2 more sources

Finite-Agent Stochastic Differential Games on Large Graphs: I. The Linear-Quadratic Case

Applied Mathematics and Optimization
In this paper, we study finite-agent linear-quadratic games on graphs. Specifically, we propose a comprehensive framework that extends the existing literature by incorporating heterogeneous and interpretable player interactions.
Ruimeng Hu, Jihao Long, Haosheng Zhou
semanticscholar   +1 more source

Numerical Approximations for Stochastic Differential Games

SIAM Journal on Control and Optimization, 2002
The Markov chain approximation method [see for example \textit{H. J. Kushner} and \textit{P. Dupuis}, ``Numerical methods for stochastic control problems in continuous time'' (2001; Zbl 0968.93005)] is a widely used method for the numerical solution for standard forms of stochastic control problems with reflected-jump diffusion models, and converges ...
openaire   +1 more source

Optimal Play in a Stochastic Differential Game

SIAM Journal on Control and Optimization, 1981
This paper considers play in a two-person zero-sum differential game where the dynamics are given by a differential equation with additive white noise. Feedback strategies are employed. Standard results from control theory show that the maximizing player has an optimal response to any pre-announced strategy of the minimizing player.
Elliott, R. J., Davis, M. H. A.
openaire   +2 more sources