On stochastic differential games: sufficient conditions that a given strategy be a saddle point, and numerical procedures for the solution of the game
DOI10.1016/0022-247X(69)90199-1zbMATH Open0182.20802OpenAlexW2020843960MaRDI QIDQ2535355FDOQ2535355
Authors: Stanley G. Chamberlain, Harold J. Kushner 
Publication date: 1969
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0022-247x(69)90199-1
Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15)
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Cited In (6)
- On the definition of stochastic differential games and the existence of value and of saddle points
- Optimal stochastic investment games under Markov regime switching market
- Stochastic differential games: a sampling approach via FBSDEs
- Stochastic descriptor pursuit game
- Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
- Saddle point conditions for a class of stochastic dynamical games with imperfect information
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