Stochastic differential games. Theory and applications
type: Item
instance of: scholarly article
title: Stochastic differential games. Theory and applications
zbMATH Open document ID: 1250.91004
author: K. M. Ramachandran
author: chris P. Tsokos
published in: Atlantis Studies in Probability and Statistics
publication date: 2012-01-11T00:00:00Z
review text: This book is a kind of survey of what is known in the literature on stochastic differential games. Thus we can think of conflict situations involving two or more players assuming that the movement or the behavior of each player is described by a stochastic differential equation (SDE). Different kind of games are considered such as zero-sum games, pursuit-evasion games and \(N\)-person noncooperative games. In any of the models the payoff function and the sets of controls for the players are specified in one or another way. Because of the complexity of the models, it is not easy to find the value of the game and the optimal strategies of the players. Better studied are cases when linear SDEs govern the behavior of the players, in particular in two-player games. Approximate procedures and convergence results are described. Other aspects are also discussed, e.g. the role of the information available to the players and the type of strategies to use. The authors suggest that some results and ideas in stochastic differential games can be used in the financial business.
reviewed by: Jordan Stoyanov
Mathematics Subject Classification ID: 91-01
Mathematics Subject Classification ID: 91A23
Mathematics Subject Classification ID: 91A60
Mathematics Subject Classification ID: 91-00
Mathematics Subject Classification ID: 91A10
Mathematics Subject Classification ID: 91A15
Mathematics Subject Classification ID: 91A06
zbMATH DE Number: 5996334
zbMATH Keywords: stochastic games
zbMATH Keywords: zero-sum games
zbMATH Keywords: noncooperative games
zbMATH Keywords: stochastic pursuit-evasion games
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 5996334