Probabilistic interpretation of a system of coupled Hamilton-Jacobi-Bellman-Isaacs equations

DOI10.1051/cocv/2020070zbMath1467.91009OpenAlexW3094471906MaRDI QIDQ4999594

Juan Li, Qingmeng Wei, Wenqiang Li

Publication date: 7 July 2021

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/cocv/2020070

zbMATH Keywords

stochastic differential gamesHJBI equationscoupled FBSDEs with jumpsstrong dynamic programming principle

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games and control (49N70) Stochastic games, stochastic differential games (91A15) Hamilton-Jacobi equations in optimal control and differential games (49L12)

Cites Work

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• Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation