Decentralized sufficient & necessary optimality conditions for cooperative stochastic differential decision problems
AuthorCharalambous, Charalambos D.
PublisherInstitute of Electrical and Electronics Engineers Inc.
Source2016 IEEE 55th Conference on Decision and Control, CDC 2016
2016 IEEE 55th Conference on Decision and Control, CDC 2016
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In this paper we derive necessary and sufficient Person by Person and Global (team) decentralized optimality conditions, for stochastic differential decision problems with multiple Decision Makers (DMs) or Agents aimed at optimizing a common pay-off. These consist of forward and backward stochastic differential equations, and a set of conditional variational Hamiltonians with respect to the information structures of the DMs. © 2016 IEEE.