On the dynamic programming principle for uniformly nondegenerate stochastic differential games in domains

DOI10.1016/J.SPA.2013.03.004zbMath1287.49027arXiv1205.0048OpenAlexW2060627832MaRDI QIDQ2447713

Nicolai V. Krylov

Publication date: 28 April 2014

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

Full work available at URL: https://arxiv.org/abs/1205.0048

zbMATH Keywords

stochastic differential gamesdynamic programming principleIsaacs equation

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15)

Related Items (5)

Zero-sum path-dependent stochastic differential games in weak formulation ⋮ On the dynamic programming principle for uniformly nondegenerate stochastic differential games in domains and the Isaacs equations ⋮ On regularity properties and approximations of value functions for stochastic differential games in domains ⋮ Approximating the value functions for stochastic differential games with the ones having bounded second derivatives ⋮ On the independence of the value function for stochastic differential games of the probability space

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