Title :
On bang-bang solutions of stochastic differential games
Author :
Fujita, Yasuhiro ; Morimoto, Hiroaki
Author_Institution :
Kobe University, Kobe, Japan
fDate :
6/1/1987 12:00:00 AM
Abstract :
We consider two classes of scalar stochastic differential games with hard constraints on controls. The solutions are found to be bang-bang, by extending a technique developed earlier for stochastic optimal control problems.
Keywords :
Bang-bang control, linear systems; Stochastic games; Control system synthesis; Differential equations; Extraterrestrial measurements; Mathematics; Measurement standards; Motion measurement; Nash equilibrium; Optimal control; Stochastic processes; Stochastic systems;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1987.1104659
