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Matematicheskaya Teoriya Igr i Ee Prilozheniya, 2009, Volume 1, Issue 2, Pages 98–118 (Mi mgta12)  
This article is cited in 10 scientific papers (total in 10 papers)

The Hamilton-Jacobi-Bellman equation for a class of differential games with random duration

Ekaterina Shevkoplyas

Faculty of Applied Mathematics and Control Processes, Saint-Peterburg State University
Full-text PDF (285 kB) Citations (10)
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Abstract: The class of differential games with random duration is studied. It turns out that the problem with random duration of the game can be simplified to the standard problem with infinite time horizon. The Hamilton-Jacobi-Bellman equation which help us to find the optimal solution under condition of random duration of the processes is derived. The results are illustrated with a game-theoretical model of non-renewable resource extraction. The problem is analyzed under condition of Weibull distribution for the random terminal time of the game.
Keywords: differential games, Hamilton-Jacobi-Bellman equation, random duration, non-renewable resource extraction.
English version:
Automation and Remote Control, 2014, Volume 75, Issue 5, Pages 959–970
DOI: https://doi.org/10.1134/S0005117914050142
Bibliographic databases:
Document Type: Article
UDC: 517.977.8 + 517.977.5 + 519.857 + 519.87
BBC: 22.18
Language: Russian
Citation: Ekaterina Shevkoplyas, “The Hamilton-Jacobi-Bellman equation for a class of differential games with random duration”, Mat. Teor. Igr Pril., 1:2 (2009), 98–118; Autom. Remote Control, 75:5 (2014), 959–970
Citation in format AMSBIB
\Bibitem{She09}
\by Ekaterina Shevkoplyas
\paper The Hamilton-Jacobi-Bellman equation for a class of differential games with random duration
\jour Mat. Teor. Igr Pril.
\yr 2009
\vol 1
\issue 2
\pages 98--118
\mathnet{http://mi.mathnet.ru/mgta12}
\zmath{https://zbmath.org/?q=an:1181.49036}
\transl
\jour Autom. Remote Control
\yr 2014
\vol 75
\issue 5
\pages 959--970
\crossref{https://doi.org/10.1134/S0005117914050142}
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  • https://www.mathnet.ru/eng/mgta/v1/i2/p98
    Cycle of papers
    This publication is cited in the following 10 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Математическая теория игр и её приложения
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    Abstract page:807
    Full-text PDF :247
    References:67
    First page:1
     
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