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 moreMetadata
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: