Stochastic differential games with reflection and related obstacle problems for Isaacs equations
DOI10.1007/s10255-011-0068-8zbMath1258.93118arXiv0707.1133MaRDI QIDQ1942154
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
viscosity solution; value function; stochastic differential games; dynamic programming principle; reflected backward stochastic differential equations; Isaacs equations with obstacles
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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