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Stochastic differential games and inverse optimal control and stopper policies | IEEE Conference Publication | IEEE Xplore

Stochastic differential games and inverse optimal control and stopper policies

Publisher: IEEE

Abstract:

In this paper, we consider a two-player stochastic differential game problem over an infinite time horizon where the players invoke controller and stopper strategies on a...View more

Abstract:

In this paper, we consider a two-player stochastic differential game problem over an infinite time horizon where the players invoke controller and stopper strategies on a nonlinear stochastic differential game problem driven by Brownian motion. The optimal strategies for the two players are given explicitly by exploiting connections between stochastic Lyapunov stability theory and stochastic Hamilton-Jacobi-Isaacs theory.
Date of Conference: 12-15 December 2017
Date Added to IEEE Xplore: 22 January 2018
ISBN Information:
Publisher: IEEE
Conference Location: Melbourne, VIC, Australia

References

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