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On the dynamic programming principle for uniformly nondegenerate stochastic differential games in domains and the Isaacs equations
Dynamic programming principle stochastic games Isaacs equation
2012/5/9
We prove the dynamic programming principe for uniformly nondegenerate stochastic differential games in the framework of time-homogeneous diffusion processes considered up to the first exit time from a...
On the dynamic programming principle for uniformly nondegenerate stochastic differential games in domains
Dynamic programming principle stochastic games Isaacs equation
2012/5/9
We prove the dynamic programming principe for uniformly nondegenerate stochastic differential games in the framework of time-homogeneous diffusion processes considered up to the first exit time from a...
Hamilton-Jacobi Equations and Two-Person Zero-Sum Differential Games with Unbounded Controls
Two-person zero-sum differential games unbounded control Hamilton-Jacobi equation viscosity solution
2011/8/25
Abstract: A two-person zero-sum differential game with unbounded controls is considered. Under proper coercivity conditions, the upper and lower value functions are characterized as the unique viscosi...