Abstract
In this paper, based on the principle of the stochastic dynamic programming and the concepts of value function, in situation of time-invariant parameter vector, applying Itô differential equation, we discussed the Saddle-point equilibrium of bilinear-quadratic two person nonzero-sum stochastic differential games and obtained the optimal control rate.
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Gao, X., Zhang, C., Zhu, H. (2011). Saddle-Point Equilibrium of Bilinear Itô Stochastic Differential Games. In: Zhang, J. (eds) Applied Informatics and Communication. ICAIC 2011. Communications in Computer and Information Science, vol 227. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-23226-8_48
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DOI: https://doi.org/10.1007/978-3-642-23226-8_48
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-23225-1
Online ISBN: 978-3-642-23226-8
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