Relationship between maximum principle and dynamic programming for stochastic differential games of jump diffusions.
Jingtao ShiPublished in: Int. J. Control (2014)
Keyphrases
- dynamic programming
- brownian motion
- optimal control
- stochastic process
- forward and backward
- video games
- computer games
- greedy algorithm
- maximum number
- state space
- human computation
- markov chain
- anisotropic diffusion
- dp matching
- game theoretic
- game playing
- single machine
- coarse to fine
- game theory
- linear programming
- reinforcement learning
- game players
- optimal policy
- stochastic optimization
- nash equilibria
- game tree
- markov decision processes
- stereo matching
- game design
- educational games
- stochastic processes
- monte carlo
- sequence alignment
- multistage
- stochastic programming
- locally optimal
- diffusion processes