Stochastic linear differential game with a square integrable martingale as noise

Arunabha Bagchi

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    Abstract

    The problem of a stochastic linear differential game with any square integrable Martingale as the noise is solved. The solution is obtained by converting the problem to an optimization problem in a Hilbert space.
    Original languageUndefined
    Pages (from-to)764-766
    JournalIEEE transactions on automatic control
    Volume21
    Issue number5
    Publication statusPublished - 1976

    Keywords

    • IR-55611

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