Stochastic optimal control to a nonlinear differential game

被引：0
|
作者：
Basimanebotlhe, Othusitse [1 ,2 ]
Xue, Xiaoping [1 ]
机构：
[1] Harbin Inst Sci & Technol, Dept Math, Harbin 150001, Peoples R China
[2] Univ Botswana, Dept Math, Gaborone, Botswana
来源：
ADVANCES IN DIFFERENCE EQUATIONS | 2014年
关键词：
nonlinear stochastic differential equation; Brownian motion; stochastic optimal control; Ito's lemma;
D O I：
10.1186/1687-1847-2014-266
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
The paper studies the optimal control of a nonlinear stochastic differential game of two persons subjected to noisy measurements. The logarithmic transformation to the value function is used in trying to find the solution of the problem. The conversion of a quasilinear partial differential equation to an ordinary linear differential equation is considered. Lastly, the iterative optimal control path estimates for the minimization maximization differential game are attained.
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页数：14
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