Weak infinitesimal operators and stochastic differential games.
- Ardanuy Albajar, Ramón
- Alcalá, A.
ISSN: 0210-7821
Ano de publicación: 1992
Volume: 13
Número: 1
Páxinas: 5-12
Tipo: Artigo
Outras publicacións en: Stochastica: revista de matemática pura y aplicada
Resumo
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.