Necessary and sufficient conditions for Nash equilibria in LQ stochastic games with random coefficients are derived via convex analysis, FBSΔEs, and constrained Riccati equations that enable closed-loop feedback representations.
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The work derives a unified approach to path measures via second-order HJ equations, showing equivalence of large deviation rate functions to Onsager-Machlup functionals and decomposing entropy production as the difference between forward and backward HJ equations.
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Viscosity Solutions of Hamilton--Jacobi--Bellman Equations for Control Systems Driven by Teugels Martingales
Necessary and sufficient conditions for Nash equilibria in LQ stochastic games with random coefficients are derived via convex analysis, FBSΔEs, and constrained Riccati equations that enable closed-loop feedback representations.
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A study of path measures based on second-order Hamilton--Jacobi equations and their applications in stochastic thermodynamics
The work derives a unified approach to path measures via second-order HJ equations, showing equivalence of large deviation rate functions to Onsager-Machlup functionals and decomposing entropy production as the difference between forward and backward HJ equations.