Weak infinitesimal operators and stochastic differential games.

• Autores: Ramón Ardanuy Albajar , A. Alcalá
• Localización: Stochastica: revista de matemática pura y aplicada, ISSN 0210-7821, Vol. 13, Nº. 1, 1992, págs. 5-12
• Idioma: inglés
• Títulos paralelos:
  • Operadores infinitesimales débiles y juegos diferenciales estocásticos.
• Enlaces
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• Resumen

  • 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.