A variational formula for stochastic controls and some applications
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Publication:938583
DOI10.4310/PAMQ.2007.v3.n2.a7zbMath1142.49013MaRDI QIDQ938583
Publication date: 26 August 2008
Published in: Pure and Applied Mathematics Quarterly (Search for Journal in Brave)
maximum principle; differential games; Nash equilibrium; saddle point; sufficient condition; minimax principle; variational formula; stochastic controls
91A10: Noncooperative games
49N70: Differential games and control
60G35: Signal detection and filtering (aspects of stochastic processes)
93E20: Optimal stochastic control
49K45: Optimality conditions for problems involving randomness
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