Stochastic Differential Games in a Non-Markovian Setting

DOI10.1137/S0363012902417632zbMath1102.91012arXivcs/0501052MaRDI QIDQ5317092

Erhan Bayraktar, H. Vincent Poor

Publication date: 15 September 2005

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cs/0501052

zbMATH Keywords

fractional Brownian motionstochastic differential gamesfractional noise theorynon-Markovian games

Mathematics Subject Classification ID

Gaussian processes (60G15) Differential games (aspects of game theory) (91A23) White noise theory (60H40) Stochastic games, stochastic differential games (91A15) Self-similar stochastic processes (60G18)

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