Differential games with random time horizon

From Wikipedia, the free encyclopedia
Jump to: navigation, search

The games with random time horizon are a particular case of differential games.[1] In such games, the terminal time is a random variable with a given probability distribution function. Therefore, the players maximize the mathematical expectancy of the cost function. It was shown that the modified optimization problem can be reformulated as a discounted differential game over an infinite time interval[2][3]

Notes[edit]

  1. ^ Petrosjan, L.A. and Murzov, N.V. (1966). Game-theoretic problems of mechanics. Litovsk. Mat. Sb. 6, pp. 423–433 (in Russian).
  2. ^ Petrosjan L.A. and Shevkoplyas E.V. Cooperative games with random duration, Vestnik of St.Petersburg Univ., ser.1, Vol.4, 2000 (in Russian)
  3. ^ Marín-Solano, Jesús and Shevkoplyas, Ekaterina V. Non-constant discounting and differential games with random time horizon. Automatica, Vol. 47(12), December 2011, pp. 2626–2638.