Connections between stochastic control and dynamic games (Q1356624)

The authors investigated duality relations between stochastic control and game problems. For a fixed probability measure, the free energy and the relative entropy are in duality via Legendre-type transform. Moreover, the power function, instead of the free energy, has a related relation. Using these basic duality results, they obtained the structure of the cost functional of the dual game of the primal control with continuous- or discrete-time and full or partial state information, in essentially the same way. The explicit forms of dual games are given in various cases.