Results 241 to 250 of about 48,378 (305)
Some of the next articles are maybe not open access.
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.
openaire +1 more source
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
Long-Time Behavior of Zero-Sum Linear-Quadratic Stochastic Differential Games
SIAM Journal of Control and OptimizationThe paper investigates the long-time behavior of zero-sum linear-quadratic stochastic differential games, aiming to demonstrate that, under appropriate conditions, both the saddle strategy and the optimal state process exhibit the exponential turnpike ...
Jingrui Sun, Jiongmin Yong
semanticscholar +1 more source
An Inverse Problem for Adaptive Linear Quadratic Stochastic Differential Games
IEEE Conference on Decision and ControlIn this paper, we consider an inverse problem for adaptive two-player stochastic linear quadratic differential games where the cost functions of players are unknown to each other, which arise in many practical situations but have rarely been explored ...
Zhixing Chen, Lei Guo
semanticscholar +1 more source
Finite-Agent Stochastic Differential Games on Large Graphs: I. The Linear-Quadratic Case
Applied Mathematics and OptimizationIn this paper, we study finite-agent linear-quadratic games on graphs. Specifically, we propose a comprehensive framework that extends the existing literature by incorporating heterogeneous and interpretable player interactions.
R. Hu, Jihao Long, Haosheng Zhou
semanticscholar +1 more source
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
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 ...
openaire +1 more source
Two-player zero-sum stochastic differential games with regime switching
at - Automatisierungstechnik, 2020This paper is concerned with the two-player zero-sum stochastic differential game in a regime switching model with an infinite horizon. The state of the system is characterized by a number of diffusions coupled by a continuous-time finite-state Markov ...
Siyu Lv
semanticscholar +1 more source
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.
openaire +2 more sources
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
openaire +2 more sources