Title :
Stochastic linear differential game with a square integrable martingale as noise
Author :
Bagchi, Arunabha
Author_Institution :
Twente University of Technology, Enschede, The Netherlands
fDate :
10/1/1976 12:00:00 AM
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;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1976.1101365
