Nonlinear Stochastic Differential Games Involving a Major Player and a Large Number of Collectively Acting Minor Agents
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Publication:5494884
DOI10.1137/130933174zbMath1292.93144arXiv1308.5057MaRDI QIDQ5494884
Shige Peng, Rainer Buckdahn, Juan Li
Publication date: 30 July 2014
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1308.5057
backward stochastic differential equation; stochastic differential game; two-person zero-sum stochastic differential game; saddle point control
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
49N70: Differential games and control
91A23: Differential games (aspects of game theory)
90C39: Dynamic programming
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
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