A variational formula for stochastic controls and some applications
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Publication:938583
DOI10.4310/PAMQ.2007.v3.n2.a7zbMath1142.49013OpenAlexW2326500196MaRDI QIDQ938583
Publication date: 26 August 2008
Published in: Pure and Applied Mathematics Quarterly (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4310/pamq.2007.v3.n2.a7
maximum principledifferential gamesNash equilibriumsaddle pointsufficient conditionminimax principlevariational formulastochastic controls
Noncooperative games (91A10) Differential games and control (49N70) Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)
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