Decentralized optimality conditions of stochastic differential decision problems via Girsanov's measure transformation

DOI10.1007/S00498-016-0168-3MaRDI QIDQ329094zbMATH OpenOpenAlexFDO

Authors Charalambos D. Charalambous

Publication date 21 October 2016

Published in MCSS. Mathematics of Control, Signals, and Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00498-016-0168-3

zbMATH Keywords

maximum principlestochastic differential equationssufficient conditionsdecentralized conditionsteam theory

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Decentralized systems (93A14) Optimal stochastic control (93E20)

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Cited in

(9)

• Stochastic differential games: the potential approach
• A universal dynamic program and refined existence results for decentralized stochastic control
• Zero-sum games involving teams against teams: existence of equilibria, and comparison and regularity in information
• Geometry of information structures, strategic measures and associated stochastic control topologies
• Robust decentralized control of coupled systems via risk sensitive control of decoupled or simple models with measure change
• Potential differential games
• Convex Analysis in Decentralized Stochastic Control, Strategic Measures, and Optimal Solutions
• Sequential stochastic control (single or multi-agent) problems nearly admit change of measures with independent measurement
• Team theory and information structures of stochastic dynamic decentralized decision

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