Switching Games of Stochastic Differential Systems
Publication:3506530
DOI10.1137/050642204zbMath1293.91022MaRDI QIDQ3506530
Publication date: 16 June 2008
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10397/6106
viscosity solution; value function; stochastic differential games; dynamic programming inequalities; switching strategies
49L20: Dynamic programming in optimal control and differential games
49N70: Differential games and control
91A05: 2-person games
91A23: Differential games (aspects of game theory)
90C39: Dynamic programming
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
91A15: Stochastic games, stochastic differential games
49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games
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