Weak infinitesimal operators and stochastic differential games.

  1. Ardanuy Albajar, Ramón
  2. Alcalá, A.
Revista:
Stochastica: revista de matemática pura y aplicada

ISSN: 0210-7821

Any de publicació: 1992

Volum: 13

Número: 1

Pàgines: 5-12

Tipus: Article

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Altres publicacions en: Stochastica: revista de matemática pura y aplicada

Resum

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.

Fuente de los datos: Dialnet