Stochastic representation for solutions of Isaacs' type integral-partial differential equations

DOI10.1016/J.SPA.2011.07.011zbMath1243.91011OpenAlexW2005040225MaRDI QIDQ645592

Rainer Buckdahn, Juan Li, Ying Hu

Publication date: 10 November 2011

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

Full work available at URL: https://doi.org/10.1016/j.spa.2011.07.011

zbMATH Keywords

viscosity solutionbackward stochastic differential equationsvalue functionintegralpartial differential operatorsstochastic differential gamesPoisson random measuredynamic programming principle

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15)

Related Items (16)

Perron's method for nonlocal fully nonlinear equations ⋮ Viscosity solutions of second order integral-partial differential equations without monotonicity condition: A new result ⋮ Integro-PDE in Hilbert spaces: existence of viscosity solutions ⋮ Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs ⋮ Continuous viscosity solutions for nonlocal Dirichlet problems with coercive gradient terms ⋮ A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach ⋮ Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems ⋮ Controlled mean-field backward stochastic differential equations with jumps involving the value function ⋮ \(L^p\) estimates for fully coupled FBSDEs with jumps ⋮ Stochastic target games with controlled loss ⋮ Nash equilibrium payoffs for stochastic differential games with jumps and coupled nonlinear cost functionals ⋮ Stochastic representations for solutions to parabolic Dirichlet problems for nonlocal Bellman equations ⋮ Probabilistic interpretation of a system of coupled Hamilton-Jacobi-Bellman-Isaacs equations ⋮ An Optimal Feedback Control-Strategy Pair For Zero-Sum Linear-Quadratic Stochastic Differential Game: the Riccati Equation Approach ⋮ Backward reachability approach to state-constrained stochastic optimal control problem for jump-diffusion models ⋮ Stochastic differential games for fully coupled FBSDEs with jumps

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• Zero-sum stochastic differential games and backward equations
• Probabilistic interpretation for systems of Isaacs equations with two reflecting barriers
• Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
• Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton-Jacobi-Bellman equations
• Backward stochastic differential equations and integral-partial differential equations
• Switching Games of Stochastic Differential Systems
• Risk minimizing portfolios and HJBI equations for stochastic differential games
• Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
• User’s guide to viscosity solutions of second order partial differential equations
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Nash Equilibrium Payoffs for Nonzero-Sum Stochastic Differential Games

This page was built for publication: Stochastic representation for solutions of Isaacs' type integral-partial differential equations