The numerical solution of three stochastic differential games

DOI10.1016/0898-1221(84)90050-6MaRDI QIDQ761360zbMATH OpenOpenAlexFDO

Authors Y. Yavin

Publication date 1984

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0898-1221(84)90050-6

zbMATH Keywords

blocking gamecollision avoidance gamecomplete observationgame of patrolling a channelpartial observationsstochastic differential equationssuboptimal strategiessufficient conditions on optimal strategiesweak optimal strategies

Mathematics Subject Classification ID

Stochastic games, stochastic differential games (91A15) Differential games (aspects of game theory) (91A23) Probabilistic games; gambling (91A60)

Review text

In this paper stochastic versions of three differential games, namely: the blocking game of \textit{R. Isaacs} [Differential games (1965; Zbl 0125.380), Chap. 6], the game of patrolling a channel [ibid., Chap. 9] and the collision avoidance game of \textit{T. Basar} and \textit{G. J. Olsder} [Noncooperative game theory (1982; Zbl 0479.90085), Chap. 8] are considered. The common factor of these differential games is that all three of them are modelled by the same set of stochastic differential equations. In each of the games sufficient conditions on optimal strategies in the case of complete observation and sufficient conditions on weak optimal strategies in the case of partial observations are derived. In the cases of complete observation, optimal strategies are computed for a variety of cases. In the cases of partial observation, procedures for computing weak suboptimal strategies are suggested, and these are computed for a variety of examples.

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Cited in

(4)

• A pursuit-evasion differential game with noisy measurements of the evader's bearing from the pursuer
• Advantageous strategies in differential games for a class of suboptimal control laws
• Numerical analysis of a zero-sum stochastic differential game in a bounded domain
• scientific article; zbMATH DE number 3865135 (Why is no real title available?)

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