Optimal Play in a Stochastic Differential Game (Q3921039)

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Optimal Play in a Stochastic Differential Game
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    title
    Optimal Play in a Stochastic Differential Game (English)
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    DOI
    10.1137/0319033
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    author
    Robert J. Elliott
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    Mark H. A. Davis
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    publication date
    1981
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    Mathematics Subject Classification ID
    91A23
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    91A60
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    49J55
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    90C39
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    91A99
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    49L20
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    zbMATH DE Number
    3733702
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    zbMATH Keywords
    upper-value
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    martingale
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    two-person zero-sum differential game
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    additive white noise
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    feedback strategies
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    submartingale
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    Hamiltonian function
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