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Optimal Play in a Stochastic Differential Game

✍ Scribed by Elliott, R. J.; Davis, M. H. A.


Book ID
118207808
Publisher
Society for Industrial and Applied Mathematics
Year
1981
Tongue
English
Weight
872 KB
Volume
19
Category
Article
ISSN
0363-0129

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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 fo