Some linear-quadratic stochastic differential games for equations in Hilbert spaces with fractional Brownian motions

DOI10.3934/dcds.2015.35.5435zbMath1341.49048OpenAlexW2526518493MaRDI QIDQ255505

Tyrone E. Duncan

Publication date: 9 March 2016

Published in: Discrete and Continuous Dynamical Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcds.2015.35.5435

zbMATH Keywords

stochastic partial differential equationsfractional Brownian motionsstochastic differential games

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Noncooperative games (91A10) Differential games and control (49N70) 2-person games (91A05) Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic games, stochastic differential games (91A15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Dynamic games (91A25) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (4)

Solvable stochastic differential games in rank one compact symmetric spaces ⋮ The stochastic linear quadratic optimal control problem on Hilbert spaces: the case of non-analytic systems ⋮ The Stochastic Linear Quadratic Control Problem with Singular Estimates ⋮ Some partially observed multi-agent linear exponential quadratic stochastic differential games

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