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Academy of Mathematics and Systems Science, CAS Colloquia & Seminars：Adaptive stabilization of non-cooperative stochastic differential games
非合作 随机微分对策 自适应镇定
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2023/11/29
We considers the adaptive stabilization problem for a basic class of linear-quadratic non-cooperative stochastic differential games when the systems matrices are unknown to the regulator and the playe...
Stochastic differential games involving impulse controls and double-obstacle quasi-variational inequalities
Stochastic differential game Impulse control Quasi-variational inequality Viscosity solution
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2012/6/25
We study a two-player zero-sum stochastic differential game with both players adopting impulse controls, on a finite time horizon. The Hamilton-Jacobi-Bellman-Isaacs (HJBI) partial differential equati...
On the dynamic programming principle for uniformly nondegenerate stochastic differential games in domains and the Isaacs equations
Dynamic programming principle stochastic games Isaacs equation
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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
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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
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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...
On zero-sum Stochastic Differential Games with Jump-Diffusion driven state: A viscosity solution framework
Stochastic differential games L´ evy processes dynamic programming
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2010/12/13
A zero-sum differential game with controlled jump-diffusion driven state is considered, and studied using a combination of dynamic programming and viscosity solution techniques. We prove, under certai...
FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS, LINEAR QUADRATIC STOCHASTIC OPTIMAL CONTROL AND NONZERO SUM DIFFERENTIAL GAMES
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2007/8/7
In this paper, we use the solutions of forward-backward stochastic differentialequations to get the explicit form of the optimal control for linear quadraticstochastic optimal control problem and the ...