Weak infinitesimal operators and stochastic differential games.
Ardanuy, Ramón ; Alcalá, A.
Stochastica, Tome 13 (1992), p. 5-12 / Harvested from Biblioteca Digital de Matemáticas
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This article considers the problem of finding the optimal strategies in stochastic differential games with two players, using the weak infinitesimal operator of process xi the solution of d(xi) = f(xi,t,u1,u2)dt + sigma(xi,t,u1,u2)dW. For two-person zero-sum stochastic games we formulate the minimax solution; analogously, we perform the solution for coordination and non-cooperative stochastic differential games.

Publié le : 1992-01-01
DMLE-ID : 2011 
@article{urn:eudml:doc:39276,
     title = {Weak infinitesimal operators and stochastic differential games.},
     journal = {Stochastica},
     volume = {13},
     year = {1992},
     pages = {5-12},
     zbl = {0769.90086},
     mrnumber = {MR1197322},
     language = {en},
     url = {http://dml.mathdoc.fr/item/urn:eudml:doc:39276}
}

Ardanuy, Ramón; Alcalá, A. Weak infinitesimal operators and stochastic differential games.. Stochastica, Tome 13 (1992) pp. 5-12. http://gdmltest.u-ga.fr/item/urn:eudml:doc:39276/