solvable differential games

Friday, May 11, 2018 - 9:00am - 9:50am
Tyrone Duncan (University of Kansas)
Stochastic differential games have been used as models for a wide variety of physical systems. These games are a natural evolution from some stochastic control problems. Two well known methods to find optimal control strategies for a stochastic differential game are solving Hamilton-Jacobi-Isaacs equations which are nonlinear partial differential equations or solving backward stochastic differential equations. Both of these approaches are often difficult to solve for explicit optimal control strategies.
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