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

DOI10.1002/OCA.2356zbMATH Open1393.93141OpenAlexW2750778772MaRDI QIDQ3176440FDOQ3176440

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

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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)

Cited In (1)

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

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