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Displaying 141 –
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In this paper, we study one kind of stochastic recursive optimal control problem for the systems described by stochastic differential equations with delay (SDDE). In our framework, not only the dynamics of the systems but also the recursive utility depend on the past path segment of the state process in a general form. We give the dynamic programming principle for this kind of optimal control problems and show that the value function is the viscosity solution of the corresponding infinite dimensional...
We consider a two-player zero-sum-game in a bounded open domain Ω
described as follows: at a point x ∈ Ω, Players I and II
play an ε-step tug-of-war game with probability α, and
with probability β (α + β = 1), a
random point in the ball of radius ε centered at x is
chosen. Once the game position reaches the boundary, Player II pays Player I the amount
given by a fixed payoff function F. We give a detailed proof of the fact
that...
We consider a two-player zero-sum-game in a bounded open domain Ω described as follows: at a point x ∈ Ω, Players I and II play an ε-step tug-of-war game with probability α, and with probability β (α + β = 1), a random point in the ball of radius ε centered at x is chosen. Once the game position reaches the boundary, Player II pays Player I the amount given by a fixed payoff function F. We give a detailed proof of the fact that the value functions of this game satisfy the Dynamic Programming Principle...
We consider a two-player zero-sum-game in a bounded open domain Ω
described as follows: at a point x ∈ Ω, Players I and II
play an ε-step tug-of-war game with probability α, and
with probability β (α + β = 1), a
random point in the ball of radius ε centered at x is
chosen. Once the game position reaches the boundary, Player II pays Player I the amount
given by a fixed payoff function F. We give a detailed proof of the fact
that...
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