On regularity properties and approximations of value functions for stochastic differential games in domains

DOI10.1214/13-AOP848zbMath1336.91020arXiv1207.3758MaRDI QIDQ465472

Nicolai V. Krylov

Publication date: 31 October 2014

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1207.3758

zbMATH Keywords

stochastic differential gamevalue functionIsaacs equationtwo-person game

Mathematics Subject Classification ID

Differential games and control (49N70) 2-person games (91A05) Differential games (aspects of game theory) (91A23) Nonlinear elliptic equations (35J60) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15)

Related Items (5)

On the dynamic programming principle for uniformly nondegenerate stochastic differential games in domains and the Isaacs equations ⋮ On the dynamic programming principle for uniformly nondegenerate stochastic differential games in domains ⋮ Approximating the value functions for stochastic differential games with the ones having bounded second derivatives ⋮ On the second order derivatives of solutions of a special Isaacs equation ⋮ On the independence of the value function for stochastic differential games of the probability space

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