A Stochastic Differential Game with Safe and Risky Choices

DOI10.1017/S0269964800000607zbMath1134.91325MaRDI QIDQ3415867

John M. McNamara

Publication date: 19 January 2007

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15)

Cites Work

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• Optimal Control of the Diffusion Coefficient of a Simple Diffusion Process
• Control of a Diffusion by Switching between Two Drift-Diffusion Coefficient Pairs
• Optimal Play in a Stochastic Differential Game
• The Existence of Value in Stochastic Differential Games

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