Results 151 to 160 of about 2,598,796 (193)
Some of the next articles are maybe not open access.
Linear Exponential Quadratic Stochastic Differential Games
IEEE Transactions on Automatic Control, 2016In 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.
Tyrone Duncan
exaly +3 more sources
Stochastic Differential Game Techniques
1981The 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
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
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
Transboundary Emission Under Stochastic Differential Game
International Game Theory Review, 2020In this study we provide a more robust transboundary industrial pollution reduction strategy for global emission collaborations. We consider the dynamics of each country’s quantity of pollution as a Brownian motion with Jumps to capture the systematic jumps caused by surprise effects arising from policy uncertainties within the economy. When the output
openaire +2 more sources
On a Differential Game in a Stochastic System
Proceedings of the Steklov Institute of Mathematics, 2020We study the game problem of approach for a system whose dynamics is described by a stochastic differential equation in a Hilbert space. The main assumption on the equation is that the operator multiplying the system state generates a strongly continuous semigroup (a semigroup of class $$C_{0}$$ ).
L. A. Vlasenko +2 more
openaire +1 more source
The Existence of Value in Stochastic Differential Games
SIAM Journal on Control and Optimization, 1976Using the techniques of Davis and Varaiya [3], [4] a two-person zero sum differential game is considered, whose dynamics are interpreted using the Girsanov measure transformation method. If the Isaacs condition holds it is shown that the upper and lower values of the game are equal and there is a saddle point in feedback strategies.
openaire +1 more source
Adaptive estimation of stochastic differential games
2012 IEEE 51st IEEE Conference on Decision and Control (CDC), 2012We consider online estimation in the classic linear-quadratic dynamic stochastic zero sum two player game with unknown system parameters. We construct a fixed gain adaptive algorithm and give a stochastic averaging analysis of its behaviour. Previous stochastic work has not treated fixed gain algorithms which are needed in practice to enable tracking.
openaire +2 more sources
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 ...
openaire +1 more source
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 ...
openaire +1 more source
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 ...
openaire +2 more sources
A stochastic differential game of capitalism
Journal of Mathematical Economics, 2010zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Leong, Chee Kian, Huang, Weihong
openaire +1 more source