2013/02/14 by Charalambos D. Charalambous, Charalambous, Charalambos D., N. Ahmed +1
Decision Sciences · Economics, Econometrics and Finance · #49J55 #49K45 #93E20 #Economic theories and models #FOS: Computer and information sciences #FOS: Electrical engineering #FOS: Mathematics #Game Theory and Applications #Information Theory (cs.IT) #Optimization and Control (math.OC) #Stochastic processes and financial applications #Systems and Control (eess.SY) #electronic engineering #information engineering
paper · pdf · doi:10.48550/arxiv.1302.3416
openalex publication_date 2013/02/14 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In this second part of our two-part paper, we invoke the stochastic maximum principle, conditional Hamiltonian and the coupled backward-forward stochastic differential equations of the first part [1] to derive team optimal decentralized strategies for distributed stochastic differential systems with noiseless information structures. We present examples of such team games of nonlinear as well as linear quadratic forms. In some cases we obtain closed form expressions of the optimal decentralized strategies. Through the examples, we illustrate the effect of information signaling among the decision makers in reducing the computational complexity of optimal decentralized decision strategies.