Stochastic linear differential game with a square integrable martingale as noise

Bagchi, Arunabha (1976) Stochastic linear differential game with a square integrable martingale as noise. IEEE Transactions on Automatic Control, 21 (5). pp. 764-766. ISSN 0018-9286

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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.
Item Type:	Article
Copyright:	© 1976 IEEE
Faculty:	Electrical Engineering, Mathematics and Computer Science (EEMCS)
Research Group:	Stochastic Systems and Signals (SST)
Link to this item:	http://purl.utwente.nl/publications/55611
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