Weak infinitesimal operators and stochastic differential games.

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

ISSN: 0210-7821

Datum der Publikation: 1992

Ausgabe: 13

Nummer: 1

Seiten: 5-12

Art: Artikel

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Andere Publikationen in: Stochastica: revista de matemática pura y aplicada

Zusammenfassung

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.

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