Stochastic differential games with reflection and related obstacle problems for Isaacs equations

DOI10.1007/s10255-011-0068-8zbMath1258.93118arXiv0707.1133MaRDI QIDQ1942154

Juan Li, Rainer Buckdahn

Publication date: 18 March 2013

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0707.1133

zbMATH Keywords

viscosity solution; value function; stochastic differential games; dynamic programming principle; reflected backward stochastic differential equations; Isaacs equations with obstacles

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

49L20: Dynamic programming in optimal control and differential games

49N70: Differential games and control

90C39: Dynamic programming

93E20: Optimal stochastic control

91A15: Stochastic games, stochastic differential games

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