Approximating the value functions for stochastic differential games with the ones having bounded second derivatives

DOI10.1016/J.SPA.2014.09.002zbMath1302.49053arXiv1404.2974OpenAlexW2017377391MaRDI QIDQ468739

Nicolai V. Krylov

Publication date: 7 November 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1404.2974

zbMATH Keywords

value functionsstochastic differential gamesIsaacs equation

Mathematics Subject Classification ID

Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Viscosity solutions to PDEs (35D40)

Related Items (1)

On the existence of Wp2 solutions for fully nonlinear elliptic equations under either relaxed or no convexity assumptions

Cites Work

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• Elliptic partial differential equations of second order
• On a representation of fully nonlinear elliptic operators in terms of pure second order derivatives and its applications
• 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
• On the Rate of Convergence of Finite-Difference Approximations for Elliptic Isaacs Equations in Smooth Domains
• Value functions and the Dirichlet problem for Isaacs equation in a smooth domain

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