Stochastic differential games: occupation measure based approach

Borkar, V. S. ; Ghosh, M. K. (1992) Stochastic differential games: occupation measure based approach Journal of Optimization Theory and Applications, 73 (2). pp. 359-385. ISSN 0022-3239

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Official URL: http://www.springerlink.com/content/t80r62g686lt27...

Related URL: http://dx.doi.org/10.1007/BF00940187

Abstract

A new approach based on occupation measures is introduced for studying stochastic differential games. For two-person zero-sum games, the existence of values and optimal strategies for both players is established for various payoff criteria. ForN-person games, the existence of equilibria in Markov strategies is established for various cases.

Item Type:Article
Source:Copyright of this article belongs to Springer-Verlag.
Keywords:Occupation Measure; Markov Strategy; Invariant Measure; Isaacs Equation; Equilibrium
ID Code:11932
Deposited On:13 Nov 2010 13:32
Last Modified:20 May 2011 09:37

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