Stochastic differential games with competing Brownian particles and related Isaacs' equations

DOI10.1002/OCA.2356MaRDI QIDQ3176440zbMATHOpenAlexFDO

Authors Xinwei Feng

Publication date 20 July 2018

Published in Optimal Control Applications \& Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/oca.2356

zbMATH Keywords

partial differential equationsstochastic differential gamesdynamic programming principlecompeting Brownian particlesgeneralized backward stochastic differential equations

Mathematics Subject Classification ID

Dynamic programming (90C39) Differential games and control (49N70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic games, stochastic differential games (91A15) Optimal stochastic control (93E20)

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Cited in

(1)

• Integral Equations and Phase Transitions in Stochastic Games. An Analogy with Statistical Physics

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