Stochastic Differential Games With a Small Parameter

DOI10.1080/17442509308833828zbMath0812.93063OpenAlexW2954534197MaRDI QIDQ4311573

Kandethody M. Ramachandran

Publication date: 30 October 1994

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509308833828

zbMATH Keywords

weak convergenceoccupation measurestochastic differential gamewideband noise

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Diffusion processes (60J60) Stochastic games, stochastic differential games (91A15) Pursuit and evasion games (49N75) Local time and additive functionals (60J55) Probabilistic games; gambling (91A60)

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Differential inequality approach for deterministic approximation in two person zero-sum stochastic differential games, A convergence method for stochastic differential games with a small parameter

Cites Work

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• The convergence problem for differential games
• Stochastic differential games: Occupation measure based approach
• Nearly Optimal Singular Controls for Wideband Noise Driven Systems
• Optimal Play in a Stochastic Differential Game