Optimal exit probabilities and differential games

DOI10.1007/BF01442120zbMath0474.93072MaRDI QIDQ1159649

Wendell H. Fleming, Chun-Ping Tsai

Publication date: 1981

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

zbMATH Keywords

differential gamesoptimal stochastic controlapproximations by discretized and penalized gamesn-dimensional Brownian motionoptimal exit probabilitiesVentcel-Freidlin estimates

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Applications of game theory (91A80) Brownian motion (60J65) Optimal stochastic control (93E20) Probabilistic games; gambling (91A60)

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Cites Work

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