Results 261 to 270 of about 106,193 (320)
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2014
In this chapter, we will deal with zero-sum two-player time-homogeneous stochastic differential games and viscosity solutions of the Isaacs equations arising from such games, via the dynamic programming principle.In Sect. 4.1, we are concerned with basic concepts and definitions and we introduce stochastic differential games, referring to (Controlled ...
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In this chapter, we will deal with zero-sum two-player time-homogeneous stochastic differential games and viscosity solutions of the Isaacs equations arising from such games, via the dynamic programming principle.In Sect. 4.1, we are concerned with basic concepts and definitions and we introduce stochastic differential games, referring to (Controlled ...
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Stochastic multi‐player pursuit–evasion differential games
International Journal of Robust and Nonlinear Control, 2007AbstractAutonomous aerial vehicles play an important role in military applications such as in search, surveillance and reconnaissance. Multi‐player stochastic pursuit–evasion (PE) differential game is a natural model for such operations involving intelligent moving targets with uncertainties.
Li, Dongxu +2 more
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International Journal of Robust and Nonlinear Control, 2019
In this paper, we consider risk‐sensitive optimal control and differential games for stochastic differential delayed equations driven by Brownian motion. The problems are related to robust stochastic optimization with delay due to the inherent feature of
Jun Moon
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In this paper, we consider risk‐sensitive optimal control and differential games for stochastic differential delayed equations driven by Brownian motion. The problems are related to robust stochastic optimization with delay due to the inherent feature of
Jun Moon
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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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Zero-Sum Risk-Sensitive Stochastic Differential Games
Mathematics of Operations Research, 2012We study zero-sum risk-sensitive stochastic differential games on the infinite horizon with discounted and ergodic payoff criteria. Under certain assumptions, we establish the existence of values and saddle-point equilibria. We obtain our results by studying the corresponding Hamilton–Jacobi–Isaacs equations.
Basu, Arnab, Ghosh, Mrinal K
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Nonzero-sum risk-sensitive stochastic differential games with discounted costs
, 2020We study nonzero-sum stochastic differential games with risk-sensitive discounted cost criteria. Under fairly general conditions on drift term and diffusion coefficients, we establish a Nash equilibrium in Markov strategies for the discounted cost ...
M. K. Ghosh +3 more
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Stochastic Differential Mean Field Games
2018The goal of this chapter is to propose solutions to asymptotic forms of the search for Nash equilibria for large stochastic differential games with mean field interactions. We implement the Mean Field Game strategy, initially developed by Lasry and Lions in an analytic set-up, in a purely probabilistic framework.
René Carmona, François Delarue
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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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Risk-Sensitive Mean-Field Stochastic Differential Games
IFAC Proceedings Volumes, 2011In this paper, we study a class of risk-sensitive mean-field stochastic di fferential games. Under regularity assumptions, we use results from standard risk-sensitive di fferential game theory to show that the mean- field value of the exponentiated cost functional coincides with the value function of a Hamilton-Jacobi-Bellman-Fleming (HJBF) equation ...
Tembine, Hamidou +2 more
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