A Differential Game with Random Time Horizon and Discontinuous Distribution

A Differential Game with Random Time Horizon and Discontinuous Distribution

One class of differential games with random duration is considered. It is assumed that the duration of the game is a random variable with values from a given finite interval. The cumulative distribution function (CDF) of this random variable is assumed to be discontinuous with two jumps on the inter...

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Bibliographic Details
Main Authors: Anastasiia Zaremba, Ekaterina Gromova, Anna Tur
Format: Article
Language:English
Published: MDPI AG 2020-12-01
Series:Mathematics
Subjects:
differential game
random time horizon
discontinuous cdf
dynamic programming principle
open-loop strategies
optimal investment
Online Access:https://www.mdpi.com/2227-7390/8/12/2185

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https://www.mdpi.com/2227-7390/8/12/2185

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