In this chapter, we discuss the application of Girsanov’s measure transformation in generalizing static team theory to dynamic team theory of stochastic dynamic decision systems with nonclassical information structures. We apply Girsanov’s measure transformation to obtain an equivalent decision system under a reference probability measure, in which the corresponding observations and information structures available for decisions are not affected by any of the team decisions, so that static team theory is directly applicable. We also present necessary and sufficient team and person-by-person (PbP) optimality conditions, which are described in terms of backwards stochastic differential equations (BSDEs) and conditional Hamiltonian functionals.
Team Theory and Information Structures of Stochastic Dynamic Decentralized Decision
Lect. Notes Control
2014-09-26
9 pages
Article/Chapter (Book)
Electronic Resource
English
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