Stochastic differential games: Occupation measure based approach

Borkar, VS and Ghosh, MK (1992) Stochastic differential games: Occupation measure based approach. In: Journal of Optimization Theory and Applications, 73 (2). pp. 359-385.

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Abstract

A new approach based on occupation measures is introduced for studying stochastic differential games. For two-person zero-sum games, the existence of values and optimal strategies for both players is established for various payoff criteria. ForN-person games, the existence of equilibria in Markov strategies is established for various cases.

Item Type:	Journal Article
Publication:	Journal of Optimization Theory and Applications
Publisher:	Springer
Additional Information:	Copyright of this article belongs to Springer.
Keywords:	Occupation measure;Markov strategy;invariant measure; Isaacs equation;equilibrium.
Department/Centre:	Division of Electrical Sciences > Electrical Engineering
Date Deposited:	30 May 2011 08:37
Last Modified:	30 May 2011 08:37
URI:	http://eprints.iisc.ac.in/id/eprint/37651

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