Existence of Saddle Points in Discrete Markov Games and Its Application in Numerical Methods for Stochastic Differential Games
暂无分享,去创建一个
[1] George Yin,et al. Numerical solutions for jump-diffusions with regime switching , 2005 .
[2] W. Fleming,et al. Risk-Sensitive Control on an Infinite Time Horizon , 1995 .
[3] A. W. Tucker,et al. Advances in game theory , 1964 .
[4] H. Kushner. Numerical Methods for Stochastic Control Problems in Continuous Time , 2000 .
[5] Lars Erik Zachrisson. 13. Markov Games , 1964 .
[6] Andrew L. Rukhin,et al. Continuous-Time Markov Chains and Applications: A Singular Perturbation Approach , 2001, Technometrics.
[7] M. Sion. On general minimax theorems , 1958 .
[8] J. Quadrat. Numerical methods for stochastic control problems in continuous time , 1994 .
[9] R. Elliott,et al. The Existence Of Value In Differential Games , 1972 .
[10] HAROLD J. KUSHNER,et al. Numerical Approximations for Stochastic Differential Games , 2002, SIAM J. Control. Optim..
[11] Q. Zhang,et al. Stock Trading: An Optimal Selling Rule , 2001, SIAM J. Control. Optim..
[12] Qing Zhang,et al. Continuous-Time Markov Chains and Applications , 1998 .
[13] T. Rolski. Stochastic Processes for Insurance and Finance , 1999 .
[14] M. Mariton,et al. Robust jump linear quadratic control: A mode stabilizing solution , 1985 .
[15] X. S. Lin,et al. Stochastic Processes for Insurance and Finance. By T. Rolski, H. Schmidli, V. Schmidt and J. Teugels (John Wiley, Chichester, 1999) , 2000, British Actuarial Journal.
[16] Gang George Yin,et al. Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions , 2006, Autom..
[17] G. Yin,et al. Discrete-Time Markov Chains: Two-Time-Scale Methods and Applications , 2004 .
[18] T. E. S. Raghavan,et al. Algorithms for stochastic games — A survey , 1991, ZOR Methods Model. Oper. Res..
[19] Tamer Basar,et al. H∞-Optimal Control and Related , 1991 .
[20] Gang George Yin,et al. Least mean square algorithms with Markov regime-switching limit , 2005, IEEE Transactions on Automatic Control.
[21] Tyrone E. Duncan,et al. Numerical Methods for Stochastic Control Problems in Continuous Time (Harold J. Kushner and Paul G. Dupuis) , 1994, SIAM Rev..
[22] Harold J. Kushner,et al. On stochastic differential games: Sufficient conditions that a given strategy be a saddle point, and numerical procedures for the solution of the game☆ , 1969 .
[23] John von Neumann,et al. Theory of games, astrophysics, hydrodynamics and meteorology , 1963 .
[24] G. Yin,et al. Continuous-time mean-variance portfolio selection with regime switching , 2002, Proceedings of the 41st IEEE Conference on Decision and Control, 2002..