A Stochastic differential game in the orthrant

被引：8
|
作者：
Ghosh, MK [1 ]
Kumar, KS [1 ]
机构：
[1] Indian Inst Sci, Dept Math, Bangalore 560012, Karnataka, India
来源：
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS | 2002年 / 265卷 / 01期
关键词：
reflecting diffusions; discounted and average payoff; optimal strategy;
D O I：
10.1006/jmaa.2001.7679
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We study a zero-sum stochastic differential game in the nonnegative orthrant. The state of the system is governed by controlled reflecting diffusions in the nonnegative orthrant. We consider discounted and average payoff evaluation criteria, We prove the existence of values and optimal strategies for both payoff criteria. (C) 2002 Elsevier Science.
引用
收藏
页码：12 / 37
页数：26
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