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A Stochastic Differential Game with Safe and Risky Choices

Published online by Cambridge University Press:  27 July 2009

J. M. McNamara
J. M. McNamara
Affiliation:
School ofMathematics University of Bristol Bristol, BS8 1TW England
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Abstract

This paper considers a two-person zero-sum stochastic differential game. The dynamics of the game are given by a one-dimensional stochastic differential equation whose diffusion coefficient may be controlled by the players. The drift coefficient is held constant and cannot be controlled. Player l's objective is to maximize the probability that the state at final time, T, is positive, while Player 2's objective is to maximize the probability that the state is negative.

Type
Articles
Information
Probability in the Engineering and Informational Sciences , Volume 2 , Issue 1 , January 1988 , pp. 31 - 39
Copyright
Copyright © Cambridge University Press 1988

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References

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