Stochastic differential games and applications (Q2784996)
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scientific article; zbMATH DE number 1733209
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic differential games and applications |
scientific article; zbMATH DE number 1733209 |
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31 May 2003
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stochastic differential games
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martingale method
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viscosity solution method
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occupation measures method
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weak convergence method
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games with imperfect information
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Stochastic differential games and applications (English)
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In this survey article, Stochastic Differential Games (SDGs) are studied. First, the martingale and viscosity solution methods are applied to the 2-person zero-sum SDGs. Also, a SDG with multiple modes is presented. The \(N\)-person SDGs are analyzed by means of the method of occupation measures. Next, the method of weak convergence is applied to the SDGs, where the dynamics is driven by a wideband noise process. An analysis of SDGs with imperfect information is given. Finally, for the sake of illustration, the case of institutional investor speculation is considered.NEWLINENEWLINEFor the entire collection see [Zbl 0979.00017].
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