Multiperson Controlled Diffusions

descriptionPublicationkeyboard_double_arrow_right Article 01 Nov 1973 English Publisher:Society for Industrial & Applied Mathematics (SIAM)Journal:SIAM Journal on Control, volume 11, pages 563-586 (issn: 0036-1402,

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Authors: Pliska, Stanley R.;

doi: 10.1137/0311044

Multiperson Controlled Diffusions

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Abstract

A multiperson controlled diffusion process is formulated as both a zero sum, two-person game and a nonzero sum, N-person game. Necessary and sufficient conditions are provided for a control to be a solution of these games. The value of a game, if it exists, is shown to be the solution of a second order, nonlinear differential equation. Existence theorems are included. Discounted cost, undiscounted cost, and average cost criteria are considered.

Keywords

Noncooperative games, Differential games (aspects of game theory)

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