A Nash equilibrium filter

DOI10.1080/07362994.2017.1295871MaRDI QIDQ5355179zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott

Publication date 6 September 2017

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2017.1295871

zbMATH Keywords

adjoint processMarkov chain filtermaximum principleNash equilibrium

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20)

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