A stochastic differential game in the orthrant

DOI10.1006/jmaa.2001.7679zbMath1006.91019OpenAlexW2056293732MaRDI QIDQ5957136

Mrinal K. Ghosh, K. Suresh Kumar

Publication date: 6 March 2002

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jmaa.2001.7679

zbMATH Keywords

stochastic differential equationstochastic differential gamedrift

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15)

Related Items (7)

A nonzero-sum risk-sensitive stochastic differential game in the orthant ⋮ Zero-sum games for continuous-time jump Markov processes in Polish spaces: discounted payoffs ⋮ A nonzero-sum stochastic differential game in the orthant ⋮ Risk-sensitive ergodic control of reflected diffusion processes in orthant ⋮ Dynamic asset management with risk-sensitive criterion and non-negative factor constraints: a differential game approach ⋮ Zero-sum risk-sensitive stochastic differential games with reflecting diffusions in the orthant ⋮ Ergodic risk-sensitive stochastic differential games with reflecting diffusions in a bounded domain

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