Linear-Quadratic Stochastic Differential Games with General Noise Processes

DOI10.1007/978-3-319-00669-7_2zbMath1296.91035OpenAlexW118852382MaRDI QIDQ4979398

Tyrone E. Duncan

Publication date: 20 June 2014

Published in: International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-00669-7_2

zbMATH Keywords

fractional Brownian motionstochastic differential gamesnoise processes

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Noncooperative games (91A10) Differential games and control (49N70) 2-person games (91A05) Differential games (aspects of game theory) (91A23) Applications of stochastic analysis (to PDEs, etc.) (60H30) Linear-quadratic optimal control problems (49N10) Stochastic games, stochastic differential games (91A15)

Related Items (4)

Linear-quadratic mean-field-type games: a direct method ⋮ Discrete-time linear-quadratic mean-field-type repeated games: perfect, incomplete, and imperfect information ⋮ Linear stochastic differential equations driven by Gauss-Volterra processes and related linear-quadratic control problems ⋮ Some linear-quadratic stochastic differential games for equations in Hilbert spaces with fractional Brownian motions

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