Covariance Control Problems over Martingales with Fixed Terminal Distribution Arising from Game Theory
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Publication:2840133
DOI10.1137/110832227zbMath1335.93142OpenAlexW1984161661MaRDI QIDQ2840133
Publication date: 17 July 2013
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/110832227
viscosity solutionstochastic controldualityrepeated gamesincomplete informationcontinuous timeHJB equations
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Multistage and repeated games (91A20)
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Continuous-time limit of dynamic games with incomplete information and a more informed player ⋮ On repeated zero-sum games with incomplete information and asymptotically bounded values ⋮ A Probabilistic Representation for the Value of Zero-Sum Differential Games with Incomplete Information on Both Sides ⋮ Repeated games of incomplete information with large sets of states ⋮ Zero-Sum Stopping Games with Asymmetric Information ⋮ Extensions of the Cav(u) Theorem for Repeated Games with Incomplete Information on One Side
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