On the independence of the value function for stochastic differential games of the probability space

DOI10.1016/J.SPA.2014.07.021zbMath1307.91033arXiv1404.2972OpenAlexW2024427137MaRDI QIDQ744245

Nicolai V. Krylov

Publication date: 6 October 2014

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

Full work available at URL: https://arxiv.org/abs/1404.2972

zbMATH Keywords

value functionsstochastic differential gamesIsaacs equation

Mathematics Subject Classification ID

Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic games, stochastic differential games (91A15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (2)

On the Rate of Convergence of Finite-Difference Approximations for Elliptic Isaacs Equations in Smooth Domains ⋮ Approximating the value functions for stochastic differential games with the ones having bounded second derivatives

Cites Work

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• On the Rate of Convergence of Finite-Difference Approximations for Elliptic Isaacs Equations in Smooth Domains
• A Uniqueness Result for Viscosity Solutions of Second Order Fully Nonlinear Partial Differential Equations
• Value functions and the Dirichlet problem for Isaacs equation in a smooth domain

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