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

DOI10.1007/s10255-011-0068-8zbMath1258.93118arXiv0707.1133OpenAlexW2022558670MaRDI 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 solutionvalue functionstochastic differential gamesdynamic programming principlereflected backward stochastic differential equationsIsaacs equations with obstacles

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Differential games and control (49N70) Dynamic programming (90C39) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15)

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