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An approach-evasion differential game: Stochastic guide
Proceedings of the Steklov Institute of Mathematics, 2010The differential equation \[ \dot{x}=f(t,x,u,v), t_{0}\leq t\leq \vartheta, u\in P, v\in Q, \] is approached by a positional differential game. The time \(\vartheta\) of the motion \(x[t],t_{0}\leq t\leq \vartheta\) belongs to a set \(M\) inside a set N and the evasion up to the time \(\vartheta\) of the motion \(x[t],t_{0}\leq t\leq \vartheta ...
Krasovskii, N. N., Kotel'nikova, A. N.
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Deterministic and Stochastic Differential Games
2016This chapter introduces the theory of deterministic and stochastic differential games, including the dynamic optimization techniques, (stochastic) differential games and their solution concepts, which will lay a foundation for later study.
Cheng-ke Zhang +3 more
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Stochastic differential game in high frequency market
Automatica, 2018zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Saito, Taiga, Takahashi, Akihiko
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Stochastic differential games in economic modeling
1994In this paper we present two continuous-time models of economic competition which are based on a stochastic differential game formalism. We focus our presentation on the modeling possibilities offered by the frameworks of piecewise deterministic and switching diffusion control systems respectively.
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The Existence of Game Value for Path-dependent Stochastic Differential Game
SIAM Journal on Control and Optimization, 2017In this paper we study a two-player zero-sum stochastic differential game for a path-dependent stochastic system under a recursive path-dependent cost functional. Due to the typical non-Markovian structure, the game value is a random field. Dividing the time horizontal into small intervals, we approximate the path-dependent game by a series of state ...
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Coalitional Stochastic Differential Games for Networks
IEEE Control Systems Letters, 2022Julian Barreiro-Gomez, Quanyan Zhu
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A Hybrid Stochastic Differential Reinsurance and Investment Game With Bounded Memory
European Journal of Operational Research, 2022RUI GAo, Zhongbao Zhou, Feimin Zhong
exaly
Linear-Quadratic Non-Zero Sum Backward Stochastic Differential Game With Overlapping Information
IEEE Transactions on Automatic Control, 2023Shuangwu Shuangwu
exaly
Backward Equations, Stochastic Control and Zero-Sum Stochastic Differential Games
Stochastic and Stochastics Reports, 1995S Hamadène
exaly
Zero-Sum Stochastic Differential Games and Backward Equations
Systems and Control Letters, 1995S Hamadène
exaly