A stochastic differential game in the orthrant (Q5957136)
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scientific article; zbMATH DE number 1716517
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English | A stochastic differential game in the orthrant |
scientific article; zbMATH DE number 1716517 |
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A stochastic differential game in the orthrant (English)
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6 March 2002
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This paper concerns a zero-sum stochastic differential game on the nonnegative orthrant. The corresponding dynamical systems is a stochastic differential equation where players control act only on the drift terms (and not on the diffusion term), also the bijectories are reflected on the boundary of the orthrant. Under the restrictive assumptions that the drift is nondegenerate, the authors proves existence of the volume in the context of -- infinite horizon with discounted cost -- ergodic payoff. The proofs are losed an existence of (regular) solutions of the corresponding Hamilton-Jacobi Isaacs partial differential equation. An application to a queueing model is discussed.
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stochastic differential game
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stochastic differential equation
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drift
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