Optimal Play in a Stochastic Differential Game
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Publication:3921039
DOI10.1137/0319033zbMath0467.90094OpenAlexW1971441289MaRDI QIDQ3921039
Mark H. A. Davis, Robert J. Elliott
Publication date: 1981
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0319033
martingaleHamiltonian functionfeedback strategiessubmartingaleadditive white noisetwo-person zero-sum differential gameupper-value
Dynamic programming in optimal control and differential games (49L20) Game theory (91A99) Differential games (aspects of game theory) (91A23) Dynamic programming (90C39) Probabilistic games; gambling (91A60) Existence of optimal solutions to problems involving randomness (49J55)
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