Stochastic Control and Differential Games with Path-Dependent Influence of Controls on Dynamics and Running Cost

DOI10.1137/18M1186186zbMath1415.93295arXiv1611.00589OpenAlexW2934880396WikidataQ128095608 ScholiaQ128095608MaRDI QIDQ4630680

Yuri F. Saporito

Publication date: 23 April 2019

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.00589

zbMATH Keywords

delaystochastic controlstochastic gamesfunctional Itô calculuspath-dependence

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Dynamic programming (90C39) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic games, stochastic differential games (91A15) Optimality conditions for problems involving randomness (49K45)

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Cites Work

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