ВИКТОРОВНА, ШЕВКОПЛЯС ЕКАТЕРИНА - In: Управление большими … (2009) 3, pp. 385-408
The class of differential games with random duration is studied. It turns out that the problem with random duration of the game can be simplified to the standard problem with infinite time horizon. The Hamilton-Jacobi-Bellman equation which help us to find the optimal solution under condition of...