A class of continuous-time general-sum stochastic differential games is made linearly solvable via multivariate Cole-Hopf transformation, allowing efficient Feynman-Kac computation of Nash equilibria.
Risk-minimizing two-player zero-sum stochastic differential game via path integral control
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Linearly Solvable Continuous-Time General-Sum Stochastic Differential Games
A class of continuous-time general-sum stochastic differential games is made linearly solvable via multivariate Cole-Hopf transformation, allowing efficient Feynman-Kac computation of Nash equilibria.