On bang-bang solutions of stochastic differential games

DOI10.1109/TAC.1987.1104659zbMath0623.90101OpenAlexW1970894752MaRDI QIDQ3762111

Yasuhiro Fujita, Hiroaki Morimoto

Publication date: 1987

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.1987.1104659

zbMATH Keywords

Brownian motionfeedback strategiesnonzero-sum stochastic differential gamesbang-banglinear stochastic differential equationNash equilibrium solutionconstraints on the controlssaddle-point solutiontwo-players zero-sum

Mathematics Subject Classification ID

Game theory (91A99) Differential games (aspects of game theory) (91A23) Existence of optimal solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49J30) Stochastic games, stochastic differential games (91A15) Probabilistic games; gambling (91A60)

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