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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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An overlapping generations stochastic differential game
Automatica, 2005zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jørgensen, Steffen, Yeung, D. W. K.
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Stochastic differential portfolio games
Journal of Applied Probability, 1998We study stochastic dynamic investment games in continuous time between two investors (players) who have available two different, but possibly correlated, investment opportunities. There is a single payoff function which depends on both investors’ wealth processes.
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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
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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
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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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Numerical Approximations for Stochastic Differential Games
SIAM Journal on Control and Optimization, 2002The Markov chain approximation method [see for example \textit{H. J. Kushner} and \textit{P. Dupuis}, ``Numerical methods for stochastic control problems in continuous time'' (2001; Zbl 0968.93005)] is a widely used method for the numerical solution for standard forms of stochastic control problems with reflected-jump diffusion models, and converges ...
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Optimal Play in a Stochastic Differential Game
SIAM Journal on Control and Optimization, 1981This paper considers play in a two-person zero-sum differential game where the dynamics are given by a differential equation with additive white noise. Feedback strategies are employed. Standard results from control theory show that the maximizing player has an optimal response to any pre-announced strategy of the minimizing player.
Elliott, R. J., Davis, M. H. A.
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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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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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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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