Equivalence of decentralized stochastic dynamic decision systems via Girsanov's measure transformation
Date
2014Publisher
Institute of Electrical and Electronics Engineers Inc.Source
Proceedings of the IEEE Conference on Decision and ControlProceedings of the IEEE Conference on Decision and Control
Volume
2015-FebruaryPages
439-444Google Scholar check
Metadata
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In this paper we present two methods for decentralized optimization of continuous and discrete-time stochastic dynamic decision systems, with multiple decision makers having nonclassical information structures. For both methods we apply Girsanov's change of measure to transform such problems into equivalent optimization problems, under a reference probability measure, with corresponding observations and information structures available for decisions, which are not affected by any of the decisions. © 2014 IEEE.