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A sufficient condition for decentralized non-cooperative stochastic differential games and relations to mean field games
- Source :
- Proceedings of the IEEE Conference on Decision and Control, CDC
- Publication Year :
- 2015
- Publisher :
- Institute of Electrical and Electronics Engineers Inc., 2015.
-
Abstract
- In this paper we use martingale techniques to derive a sufficient condition for existence of decentralized strategies in non-cooperative stochastic differential games. The sufficient condition is given by decentralized conditional Isaacs conditions, linked to backward stochastic differential equations, whose solutions are related to the value processes of each one of the Decision Makers (DMs) or Players of the game. Our formulation and results include decentralized noncooperative stochastic games with mean field and conditional mean field components. © 2015 IEEE. 54rd IEEE Conference on Decision and Control,CDC 2015 7832 7837
- Subjects :
- Differential equations
Mathematical optimization
Computer Science::Computer Science and Game Theory
Stochastic systems
Noise measurement
Noise measurements
Backward stochastic differential equations
Aerospace electronics
Algebra
Mathematics::Probability
Mean field theory
Process control
Stochastic differential game
Extraterrestrial measurements
Mean field games
Martingale (probability theory)
Games
Mathematical economics
Decision making
Game theory
Conditional means
Mathematics
Subjects
Details
- Database :
- OpenAIRE
- Journal :
- Proceedings of the IEEE Conference on Decision and Control, CDC
- Accession number :
- edsair.doi.dedup.....31e8050fbb9effe3f0fb0311329b7684