Risk-sensitive zero-sum stochastic differential game for jump-diffusions
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Publication:2059477
DOI10.1016/J.SYSCONLE.2021.105033zbMath1480.91029OpenAlexW3202202364MaRDI QIDQ2059477
Publication date: 14 December 2021
Published in: Systems \& Control Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.sysconle.2021.105033
Processes with independent increments; Lévy processes (60G51) Noncooperative games (91A10) Integro-partial differential equations (45K05) Stochastic games, stochastic differential games (91A15) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
Related Items (3)
Finite-time \(H_2 / H_\infty\) control for linear Itô stochastic Markovian jump systems with Brownian motion and Poisson jumps ⋮ Nonzero-sum risk-sensitive stochastic differential games: a multi-parameter eigenvalue problem approach ⋮ Saddle-point solution to zero-sumgame for uncertain noncausal systems based on optimistic value
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