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Equivalence of decentralized stochastic dynamic decision systems via Girsanov's measure transformation | IEEE Conference Publication | IEEE Xplore

Equivalence of decentralized stochastic dynamic decision systems via Girsanov's measure transformation

Publisher: IEEE

Abstract:

In this paper we present two methods for decentralized optimization of continuous and discrete-time stochastic dynamic decision systems, with multiple decision makers hav...View more

Abstract:

In this paper we present two methods for decentralized optimization of continuous and discrete-time stochastic dynamic decision systems, with multiple decision makers having nonclassical information structures. For both methods we apply Girsanov's change of measure to transform such problems into equivalent optimization problems, under a reference probability measure, with corresponding observations and information structures available for decisions, which are not affected by any of the decisions.
Date of Conference: 15-17 December 2014
Date Added to IEEE Xplore: 12 February 2015
ISBN Information:
Print ISSN: 0191-2216
Publisher: IEEE
Conference Location: Los Angeles, CA, USA

References

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