Stochastic linear differential game with a square integrable martingale as noise

Arunabha Bagchi

    Research output: Contribution to journalArticleAcademic

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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

    Cite this

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    title = "Stochastic linear differential game with a square integrable martingale as noise",
    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.",
    keywords = "IR-55611",
    author = "Arunabha Bagchi",
    year = "1976",
    language = "Undefined",
    volume = "21",
    pages = "764--766",
    journal = "IEEE transactions on automatic control",
    issn = "0018-9286",
    publisher = "IEEE",
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    }

    Stochastic linear differential game with a square integrable martingale as noise. / Bagchi, Arunabha.

    In: IEEE transactions on automatic control, Vol. 21, No. 5, 1976, p. 764-766.

    Research output: Contribution to journalArticleAcademic

    TY - JOUR

    T1 - Stochastic linear differential game with a square integrable martingale as noise

    AU - Bagchi, Arunabha

    PY - 1976

    Y1 - 1976

    N2 - 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.

    AB - 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.

    KW - IR-55611

    M3 - Article

    VL - 21

    SP - 764

    EP - 766

    JO - IEEE transactions on automatic control

    JF - IEEE transactions on automatic control

    SN - 0018-9286

    IS - 5

    ER -