Stochastic programs as non-zero sum games

DOI10.1080/00207728008967080zbMath0441.90079OpenAlexW4252875907MaRDI QIDQ3883911

Jati K. Sengupta

Publication date: 1980

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207728008967080

zbMATH Keywords

equivalent transformationstochastic linear programminggame-theoretic analysisoptimal Nash equilibrium strategiestwo-person non-zero sum games

Mathematics Subject Classification ID

Stochastic programming (90C15) 2-person games (91A05) Applications of game theory (91A80)

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A minimax policy for optimal portfolio choice

Cites Work

• Constrained games as complementary eigenvalue problems
• On the Stackelberg strategy in nonzero-sum games
• Existence and Uniqueness of Equilibrium Points for Concave N-Person Games
• Chance-Constrained Games with Partially Controllable Strategies
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