DocumentCode
856115
Title
On bang-bang solutions of stochastic differential games
Author
Fujita, Yasuhiro ; Morimoto, Hiroaki
Author_Institution
Kobe University, Kobe, Japan
Volume
32
Issue
6
fYear
1987
fDate
6/1/1987 12:00:00 AM
Firstpage
535
Lastpage
537
Abstract
We consider two classes of scalar stochastic differential games with hard constraints on controls. The solutions are found to be bang-bang, by extending a technique developed earlier for stochastic optimal control problems.
Keywords
Bang-bang control, linear systems; Stochastic games; Control system synthesis; Differential equations; Extraterrestrial measurements; Mathematics; Measurement standards; Motion measurement; Nash equilibrium; Optimal control; Stochastic processes; Stochastic systems;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.1987.1104659
Filename
1104659
Link To Document