Уравнение Гамильтона-Якоби-Беллмана в дифференциальных играх со случайной продолжительностью

Шевкопляс Екатерина Викторовна

Управление большими системами: сборник трудов, 2009, issue 26-1, 385-408

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: ДИФФЕРЕНЦИАЛЬНЫЕ ИГРЫ; УРАВНЕНИЕ ГАМИЛЬТОНА-ЯКОБИ-БЕЛЛМАНА; СЛУЧАЙНАЯ ПРОДОЛЖИТЕЛЬНОСТЬ; РАЗРАБОТКА НЕВОЗОБНОВЛЯЕМЫХ РЕСУРСОВ (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:scn:022092:293632

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