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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.
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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.
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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
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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
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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
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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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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.
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The Existence of Game Value for Path-dependent Stochastic Differential Game
SIAM Journal on Control and Optimization, 2017Summary: In 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
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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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Towards a Theory of stochastic adaptive differential games
IEEE Conference on Decision and Control and European Control Conference, 2011Complex systems with components or subsystems having game-like relationships are arguably the most complex ones. Much progress has been made in the traditional game theory over the past half a century, where the structure and the parameters are assumed to be known when the players make their decisions.
Yan Li, Lei Guo 0001
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