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

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15)

Cites work

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• A Problem of Optimal Joint Control
• On Function Space Pursuit-Evasion Games
• On the stability of processes defined by stochastic difference- differential equations
• Optimal Control in a Linear System under Conflict
• Optimal Discounted Stochastic Control for Diffusion Processes
• Optimal Terminal Maneuver and Evasion Strategy
• Solution of Linear Pursuit-Evasion Games

Cited in

(6)

• Stochastic differential games: a sampling approach via FBSDEs
• Saddle point conditions for a class of stochastic dynamical games with imperfect information
• Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
• Stochastic descriptor pursuit game
• Optimal stochastic investment games under Markov regime switching market
• On the definition of stochastic differential games and the existence of value and of saddle points

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