Stochastic optimal control to a nonlinear differential game

DOI10.1186/1687-1847-2014-266MaRDI QIDQ307295zbMATH OpenOpenAlexWikidataFDO

Authors Othusitse Basimanebotlhe, Xiaoping Xue

Publication date 1 September 2016

Published in Advances in Difference Equations (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1186/1687-1847-2014-266

zbMATH Keywords

Brownian motionstochastic optimal controlnonlinear stochastic differential equationItô's lemma

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) 2-person games (91A05) Stochastic games, stochastic differential games (91A15) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 3562833 (Why is no real title available?)
• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• A constrained non-linear regular-singular stochastic control problem, with applications.
• A feedback nash equilibrium solution for non–cooperative innovations in a stochastic differential game framework
• An algorithm for solving a stochastic control problem
• Controlled Markov processes and viscosity solutions
• Game theory
• New approach to stochastic optimal control
• Stochastic differential equations. An introduction with applications.
• Stochastic differential portfolio games

Cited in

(8)

• Parametric optimization in the control design for nonlinear differential games with zero sum
• Pointwise stochastic control of nonlinear systems
• Parametric approximate optimal control of uncertain differential game with application to counter terror
• scientific article; zbMATH DE number 4127047 (Why is no real title available?)
• Optimal control and zero-sum stochastic differential game problems of mean-field type
• \(p\)-Laplace operators for oriented hypergraphs
• Near optimal strategies for nonlinear stochastic differential games based on the technique of statistical linearization
• Stochastic nonlinear minimax dynamic games with noisy measurements

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