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Solutions de similitude d'un jeu différentiel stochastique

Abstract : A two-dimensional controlled stochastic process defined by a set of stochastic differential equations is considered. Contrary to the most frequent formulation, the control variables appear only in the infinitesimal variances of the process, rather than in the infinitesimal means. The differential game ends the first time the two controlled processes are equal or their difference is equal to a given constant. Explicit solutions to particular problems are obtained by making use of the method of similarity solutions to solve the appropriate partial differential equation.
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Mario Lefebvre. Solutions de similitude d'un jeu différentiel stochastique. Revue Africaine de la Recherche en Informatique et Mathématiques Appliquées, INRIA, 2006, Volume 5, Special Issue TAM TAM'05, november 2006, pp.206-215. ⟨10.46298/arima.1864⟩. ⟨hal-01263435⟩



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