Differential games for stochastic partial differential equations

DOI10.1017/S0027763000004554MaRDI QIDQ4271310zbMATH OpenFDO

Authors Wendell Fleming, Makiko Nisio

Publication date 1 December 1993

Published in Nagoya Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0027763000004554

zbMATH Keywords

principle of dynamic programmingstochastic partial differential equationsuniqueness problemzero-sum two players finite horizon games

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Probabilistic games; gambling (91A60)

Recommendations

• scientific article; zbMATH DE number 4125214
• Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
• On value function of stochastic differential games in infinite dimensions and its application to sensitive control
• On the value of stochastic differential games
• Stochastic representation for solutions of Isaacs' type integral-partial differential equations

Cites work

• scientific article; zbMATH DE number 4125214 (Why is no real title available?)
• Optimal control for stochastic partial differential equations and viscosity solutions of Bellman equations
• User’s guide to viscosity solutions of second order partial differential equations
• Viscosity solutions of fully nonlinear second-order equations and optimal stochastic control in infinite dimensions. I: The case of bounded stochastic evolutions

Cited in

(41)

• On total risk aversion and differential games for controlled parabolic equations
• On infinite dimensional stochastic differential games
• Syntheses of differential games and pseudo-Riccati equations
• Path-dependent Hamilton-Jacobi equations in infinite dimensions
• On value function of stochastic differential games in infinite dimensions and its application to sensitive control
• Zero-sum differential games on the Wasserstein space
• Game theoretical methods in PDEs
• Zero-sum stochastic differential games of generalized McKean-Vlasov type
• Regularity properties for a class of non-uniformly elliptic Isaacs operators
• Differential games in \(L^{\infty}\)
• On the dynamic programming principle for uniformly nondegenerate stochastic differential games in domains and the Isaacs equations
• Stochastic differential games
• Some linear-quadratic stochastic differential games for equations in Hilbert spaces with fractional Brownian motions
• On the value of stochastic differential games
• On the second order derivatives of solutions of a special Isaacs equation
• Relative Value Iteration for Stochastic Differential Games
• Stochastic differential games with competing Brownian particles and related Isaacs' equations
• scientific article; zbMATH DE number 3843622 (Why is no real title available?)
• scientific article; zbMATH DE number 3873824 (Why is no real title available?)
• Stochastic Differential Games with Multiple Modes and a Small Parameter
• scientific article; zbMATH DE number 4149928 (Why is no real title available?)
• DETERMINISTIC DIFFERENTIAL GAMES UNDER PROBABILITY KNOWLEDGE OF INITIAL CONDITION
• Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
• On bang-bang solutions of stochastic differential games
• scientific article; zbMATH DE number 4125214 (Why is no real title available?)
• scientific article; zbMATH DE number 1234986 (Why is no real title available?)
• scientific article; zbMATH DE number 721934 (Why is no real title available?)
• scientific article; zbMATH DE number 1944083 (Why is no real title available?)
• scientific article; zbMATH DE number 1944160 (Why is no real title available?)
• scientific article; zbMATH DE number 2069400 (Why is no real title available?)
• scientific article; zbMATH DE number 1376818 (Why is no real title available?)
• Dynkin Game of Stochastic Differential Equations with Random Coefficients and Associated Backward Stochastic Partial Differential Variational Inequality
• A Class of Stochastic Games and Moving Free Boundary Problems
• Stochastic differential games: the potential approach
• Finite Difference Scheme for Stochastic Differential Games with Several Singular Control Variables and Its Environmental Application
• Value functions and the Dirichlet problem for Isaacs equation in a smooth domain
• scientific article; zbMATH DE number 7070811 (Why is no real title available?)
• Stochastic differential games with random coefficients and stochastic Hamilton-Jacobi-Bellman-Isaacs equations
• Stochastic representation for solutions of Isaacs' type integral-partial differential equations
• On the contributions of Wendell Fleming
• A stochastic differential game for the inhomogeneous \(\infty \)-Laplace equation

This page was built for publication: Differential games for stochastic partial differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4271310)