Weak infinitesimal operators and stochastic differential games.

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

ISSN: 0210-7821

Year of publication: 1992

Volume: 13

Issue: 1

Pages: 5-12

Type: Article

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Abstract

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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