• DocumentCode
    3743648
  • Title

    Some stochastic differential games with state dependent noise

  • Author

    T. E. Duncan;B. Pasik-Duncan

  • Author_Institution
    Department of Mathematics, University of Kansas, Lawrence, 66045, USA
  • fYear
    2015
  • Firstpage
    3773
  • Lastpage
    3777
  • Abstract
    Some two person noncooperative zero sum stochastic differential games are formulated and solved where the stochastic system is linear with stochastic coefficients and a linear state dependence for the Brownian motion noise and a quadratic payoff for the two players. A direct method is used to obtain the optimal strategies. An example is provided for such a stochastic system.
  • Keywords
    "Games","Stochastic processes","Riccati equations","Mathematical model","Differential equations","Stochastic systems","Nash equilibrium"
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control (CDC), 2015 IEEE 54th Annual Conference on
  • Type

    conf

  • DOI
    10.1109/CDC.2015.7402805
  • Filename
    7402805
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3743648