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Saddle-point equilibrium of bilinear Itô stochastic differential games

Communications in Computer and Information Science (2011) 227 CCIS(PART 4) 368-373
DOI: 10.1007/978-3-642-23226-8_48
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Abstract

In this paper, based on the principle of the stochastic dynamic programming and the concepts of value function, in situation of time-invariant parameter vector, applying Itô differential equation, we discussed the Saddle-point equilibrium of bilinear-quadratic two person nonzero-sum stochastic differential games and obtained the optimal control rate. © 2011 Springer-Verlag.

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Gao, X., Zhang, C., & Zhu, H. (2011). Saddle-point equilibrium of bilinear Itô stochastic differential games. In Communications in Computer and Information Science (Vol. 227 CCIS, pp. 368–373). https://doi.org/10.1007/978-3-642-23226-8_48

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