Abstract
This paper deals with a class of stochastic differential games where the random disturbances are represented by stochastic jump processes. Between two successive random jump times the process is fully deterministic. It is possible to consider two classes of strategies, the usual feedback strategies and the so-called piecewise open-loop strategies in which an open-loop control is adapted by each player at a jump time. The characterization and the existence of equilibria are discussed for this class of games.
Aknowledgement: The author thanks Michèle Breton for her help in establishing the link with the sequential Markov game formalism
Research supported by NSERC-Canada, Grant, A4952 and FCAR-Québec, Grants # 88EQ3528, and 89CE130
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© 1989 Springer-Verlag
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Haurie, A. (1989). Piecewise deterministic differential games. In: Başar, T.S., Bernhard, P. (eds) Differential Games and Applications. Lecture Notes in Control and Information Sciences, vol 119. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0004267
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DOI: https://doi.org/10.1007/BFb0004267
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