The Existence of Game Value for Path-dependent Stochastic Differential Game
From MaRDI portal
Publication:5348479
DOI10.1137/15M1015042zbMath1372.49035MaRDI QIDQ5348479
Publication date: 18 August 2017
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Differential games and control (49N70) Stochastic games, stochastic differential games (91A15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
Related Items
Zero-sum path-dependent stochastic differential games in weak formulation, Stochastic differential games with random coefficients and stochastic Hamilton-Jacobi-Bellman-Isaacs equations
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Switching game of backward stochastic differential equations and associated system of obliquely reflected backward stochastic differential equations
- Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
- Some recent aspects of differential game theory
- Backward stochastic differential equations with reflection and Dynkin games
- Backward-forward SDE's and stochastic differential games
- The controller-and-stopper game for a linear diffusion.
- On viscosity solutions of path dependent PDEs
- Stochastic differential games
- BSDE, path-dependent PDE and nonlinear Feynman-Kac formula
- Two Person Zero-Sum Game in Weak Formulation and Path Dependent Bellman--Isaacs Equation
- Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
- Optimal Stopping Games for Markov Processes
- Optimal Play in a Stochastic Differential Game
- The Existence of Value in Stochastic Differential Games
- Backward Stochastic Differential Equations in Finance
- Nash Equilibrium Payoffs for Nonzero-Sum Stochastic Differential Games
- Backward equations, stochastic control and zero-sum stochastic differential games
- Dynkin Game of Stochastic Differential Equations with Random Coefficients and Associated Backward Stochastic Partial Differential Variational Inequality