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A differential game with jump process observations

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Abstract

We introduce a stochastic differential game with jump process observations. Both players obtain common, noisy information of the state of the system only at random time instants. The solutions to this game and its continuous observations in noise counterpart are obtained. Some earlier results dealing with the effect of changes in system parameters on the optimal cost for the continuous observations case are extended to the game with jump process observations.

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Authors and Affiliations

  1. Department of Mathematics, University of Maryland, Baltimore County, Baltimore, Maryland

    P. R. Kumar (Assistant Professor)

Authors
  1. P. R. Kumar
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Additional information

Communicated by P. Varaiya

This work was supported by a 1978 Summer Faculty Fellowship from the University of Maryland, Baltimore County.

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Kumar, P.R. A differential game with jump process observations. J Optim Theory Appl 31, 219–231 (1980). https://doi.org/10.1007/BF00934112

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  • DOI: https://doi.org/10.1007/BF00934112

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