Construction of asymptotically optimal controls for control and game problems

DOI10.1007/s004400050173zbMath0916.93070OpenAlexW1981627050MaRDI QIDQ1265415

Vlad Bally

Publication date: 26 July 1999

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s004400050173

zbMATH Keywords

Nash equilibrium\(n\)-person gameapproximation of the backward stochastic differential equation

Mathematics Subject Classification ID

(n)-person games, (n>2) (91A06) Optimal stochastic control (93E20) Probabilistic games; gambling (91A60)

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Numerical computation for backward doubly SDEs with random terminal time ⋮ A probabilistic-numerical approximation for an obstacle problem arising in game theory

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