Anticipated backward stochastic differential equations and their applications to zero-sum stochastic differential games.
Shengnan LiXiaoming XuPublished in: Commun. Stat. Simul. Comput. (2022)
Keyphrases
- stochastic differential equations
- game theory
- stochastic games
- nash equilibria
- maximum a posteriori estimation
- brownian motion
- boolean games
- repeated games
- nash equilibrium
- fractional brownian motion
- additive gaussian noise
- incomplete information
- differential equations
- stochastic process
- long range
- optimal control
- non stationary
- poisson process
- diffusion process
- heavy traffic
- stochastic processes
- multiscale
- monte carlo
- mathematical model
- denoising
- cost function
- special case