Decentralized sufficient & necessary optimality conditions for cooperative stochastic differential decision problems
Date
2016ISBN
978-1-5090-1837-6Publisher
Institute of Electrical and Electronics Engineers Inc.Source
2016 IEEE 55th Conference on Decision and Control, CDC 20162016 IEEE 55th Conference on Decision and Control, CDC 2016
Pages
6161-6166Google Scholar check
Metadata
Show full item recordAbstract
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.