On linear stochastic differential games with average cost criteria

DOI10.1007/BF00940027zbMath0666.90103OpenAlexW2009188097MaRDI QIDQ1117153

S. H. Smith

Publication date: 1990

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00940027

zbMATH Keywords

Nash equilibriumsaddle-pointconstraintsaverage cost criteriascalar linear stochastic differential games

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Dynamic programming (90C39) Stochastic games, stochastic differential games (91A15) Probabilistic games; gambling (91A60)

Related Items

Nonzero-sum stochastic differential games with additive structure and average payoffs ⋮ Discount-sensitive equilibria in zero-sum stochastic differential games

Cites Work

• Quadratic control for linear periodic systems
• On bang-bang solutions of stochastic differential games
• A strong law of large numbers for local martingales
• ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS
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