Construction of asymptotically optimal controls for control and game problems

DOI10.1007/S004400050173MaRDI QIDQ1265415zbMATH OpenOpenAlexFDO

Authors Vlad Bally

Publication date 26 July 1999

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s004400050173

zbMATH Keywords

\(n\)-person gameapproximation of the backward stochastic differential equationNash equilibrium

Mathematics Subject Classification ID

(n)-person games, (n>2) (91A06) Probabilistic games; gambling (91A60) Optimal stochastic control (93E20)

Review text

A control, near to a Nash equilibrium point, is constructed for an \(n\)-person game whose state dynamics is described by a diffusion process with controlled drift. The analysis is based on the approximation of the associated backward stochastic differential equation.

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Cited in

(3)

• A probabilistic-numerical approximation for an obstacle problem arising in game theory
• Numerical computation for backward doubly SDEs with random terminal time
• On a Diffusion Approximation of a Prediction Game

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