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 language | Undefined |
|---|---|
| Pages (from-to) | 764-766 |
| Journal | IEEE transactions on automatic control |
| Volume | 21 |
| Issue number | 5 |
| Publication status | Published - 1976 |
Keywords
- IR-55611