On linear stochastic differential games with average cost criteria

DOI10.1007/BF00940027MaRDI QIDQ1117153zbMATH OpenOpenAlexFDO

Authors S. H. Smith

Publication date 1990

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf00940027

zbMATH Keywords

constraintsNash equilibriumsaddle-pointaverage cost criteriascalar linear stochastic differential games

Mathematics Subject Classification ID

Dynamic programming (90C39) Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15) Probabilistic games; gambling (91A60)

Recommendations

• scientific article; zbMATH DE number 954507
• Linear-quadratic stochastic differential games with general noise processes
• Nash-equilibrium in stochastic differential games
• Linear quadratic stochastic two-person zero-sum differential games in an infinite horizon
• Mean-field linear-quadratic stochastic differential games

Cites work

• scientific article; zbMATH DE number 3744982 (Why is no real title available?)
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• scientific article; zbMATH DE number 706270 (Why is no real title available?)
• A strong law of large numbers for local martingales
• ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS
• On bang-bang solutions of stochastic differential games
• Quadratic control for linear periodic systems

Cited in

(5)

• Nonzero-sum stochastic differential games with additive structure and average payoffs
• Discount-sensitive equilibria in zero-sum stochastic differential games
• Linearization of a dynamic programming equation
• Stability of linear stochastic difference equations in strategically controlled random environments
• scientific article; zbMATH DE number 1808113 (Why is no real title available?)

This page was built for publication: On linear stochastic differential games with average cost criteria

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1117153)