On the dynamic programming principle for uniformly nondegenerate stochastic differential games in domains and the Isaacs equations (Q2447298)

The general dynamic programming principle is established for uniformly non-degenerate time-homogeneous stochastic differential games including stopping and randomized stopping times. The cases of bounded and unbounded domains are considered. It is shown that the value functions are uniquely determined by the functions defining the corresponding Isaacs equations. Some approximation results are obtained connected with the value function.