Results 141 to 150 of about 9,860 (188)

A stochastic differential game of capitalism

Journal of Mathematical Economics, 2010
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Leong, Chee Kian, Huang, Weihong
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Stochastic differential games in economic modeling

1994
In 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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SOLUTION MECHANISMS FOR COOPERATIVE STOCHASTIC DIFFERENTIAL GAMES

International Game Theory Review, 2006
Cooperative stochastic differential games constitute a highly complex form of decision making under uncertainty. In particular, interactions between strategic behaviors, dynamic evolution, stochastic elements and solution agreement have to be considered simultaneously. This complexity leads to great difficulties in the derivation of dynamically stable
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An approach-evasion differential game: Stochastic guide

Proceedings of the Steklov Institute of Mathematics, 2010
The 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

2016
This 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, Huai-nian Zhu, Hai-ying Zhou, Ning Bin   +3 more
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Stochastic differential game in high frequency market

Automatica, 2018
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Saito, Taiga, Takahashi, Akihiko
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A solvable stochastic differential game in the two-sphere

52nd IEEE Conference on Decision and Control, 2013
In this paper a two person zero sum stochastic differential game is formulated and explicitly solved where the state of the game evolves in a two dimensional sphere. The game is described by a stochastic equation that is the sum of the control strategies of the two players and a Brownian motion in the two-sphere.
Tyrone E. Duncan, Bozenna Pasik-Duncan
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Stochastic Differential Games on Optimal Investment and Reinsurance Strategy with Delay Under the CEV Model

Methodology and Computing in Applied Probability, 2023
Ning Bin, Huainian Zhu, Chengke Zhang
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Reinforcement learning for exploratory linear-quadratic two-person zero-sum stochastic differential games

Applied Mathematics and Computation, 2023
Zhongshi Sun, Guangyan Jia
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Linear Exponential Quadratic Stochastic Differential Games

IEEE Transactions on Automatic Control, 2016
In this technical note a two person noncooperative stochastic differential game described by a linear stochastic equation with a Brownian motion and a payoff that is the exponential of a quadratic functional in the state and the control strategies of the two players is explicitly solved. The optimal strategies form a Nash equilibrium.
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