A variational formula for stochastic controls and some applications

DOI10.4310/PAMQ.2007.v3.n2.a7zbMath1142.49013MaRDI QIDQ938583

Libin Mou, Jiong-min Yong

Publication date: 26 August 2008

Published in: Pure and Applied Mathematics Quarterly (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/pamq.2007.v3.n2.a7

zbMATH Keywords

maximum principle; differential games; Nash equilibrium; saddle point; sufficient condition; minimax principle; variational formula; stochastic controls

Mathematics Subject Classification ID

91A10: Noncooperative games

49N70: Differential games and control

60G35: Signal detection and filtering (aspects of stochastic processes)

93E20: Optimal stochastic control

49K45: Optimality conditions for problems involving randomness

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