Loading...
Please wait, while we are loading the content...
Similar Documents
A Variational Formula for Stochastic Controls and Some Applications
| Content Provider | CiteSeerX |
|---|---|
| Author | Yong, Jiongmin Mou, Libin |
| Abstract | Abstract For a controlled stochastic differential equation with a Bolza type performance functional, a variational formula for the functional in a given control process direction is derived, by means of backward stochastic differential equations. As applications, some Pontryagin type maximum principles are established for optimal controls of control problems, for saddle points of open-loop two-person zero-sum differential games, and for Nash equilibria of N-person nonzero-sum differential games. The results presented in this paper generalizes/simplifies the relevant ones found in [12] [17]. In addition, a sufficient existence condition of Nash equilibria is proved for nonzero-sum games. Key words. Stochastic controls, variational formula, maximum principle, differential games, minimax principle, sufficient condition, saddle point, Nash equilibrium AMS (MOS) subject classification. 49K, 93E20, 91A15, 91A23 |
| File Format | |
| Access Restriction | Open |
| Subject Keyword | Saddle Point Control Process Direction Relevant One Differential Game Open-loop Two-person Zero-sum Differential Game Nash Equilibrium Am Stochastic Control Sufficient Existence Condition Bolza Type Performance Functional Pontryagin Type Maximum Principle N-person Nonzero-sum Differential Game Nonzero-sum Game Variational Formula Minimax Principle Backward Stochastic Differential Equation |
| Content Type | Text |
| Resource Type | Article |
