• DocumentCode
    822701
  • Title

    Stochastic linear differential game with a square integrable martingale as noise

  • Author

    Bagchi, Arunabha

  • Author_Institution
    Twente University of Technology, Enschede, The Netherlands
  • Volume
    21
  • Issue
    5
  • fYear
    1976
  • fDate
    10/1/1976 12:00:00 AM
  • Firstpage
    764
  • Lastpage
    766
  • Abstract
    The problem of a stochastic linear differential game with any square integrable Martingale as the noise is solved. The solution is obtained by converting the problem to an optimization problem in a Hilbert space.
  • Keywords
    Stochastic differential games; Cost function; Differential equations; Hilbert space; Large-scale systems; Matrix decomposition; Noise measurement; Regulators; Stochastic processes; Stochastic resonance; Stochastic systems;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1976.1101365
  • Filename
    1101365
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=822701