Linear Quadratic Stochastic Differential Games: Open-Loop and Closed-Loop Saddle Points
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Publication:5244650
DOI10.1137/140953642zbMath1307.93466arXiv1401.4754OpenAlexW2148753127MaRDI QIDQ5244650
Publication date: 27 March 2015
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1401.4754
stochastic differential equationzero-sum gameRiccati differential equationtwo-personlinear quadratic differential gameopen-loop saddle pointclosed-loop saddle point
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20)
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