Stochastic linear differential game with a square integrable martingale as noise

Arunabha Bagchi

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 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

Access to Document

01101365

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.",

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EP - 766

JO - IEEE transactions on automatic control

JF - IEEE transactions on automatic control

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