Representation of limit values for nonexpansive stochastic differential games
From MaRDI portal
Publication:2219043
DOI10.1016/j.jde.2020.12.009zbMath1477.60084MaRDI QIDQ2219043
Juan Li, Nana Zhao, Rainer Buckdahn
Publication date: 19 January 2021
Published in: Journal of Differential Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jde.2020.12.009
stochastic differential games; limit value; stochastic nonexpansivity condition; radial monotonicity of Hamiltonians
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60K35: Interacting random processes; statistical mechanics type models; percolation theory
Related Items
Nash equilibrium and bang-bang property for the non-zero-sum differential game of multi-player uncertain systems with Hurwicz criterion, Optimal control and zero-sum differential game for Hurwicz model considering singular systems with multifactor and uncertainty, Saddle-point equilibrium for Hurwicz model considering zero-sum differential game of uncertain dynamical systems with jump
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On representation formulas for long run averaging optimal control problem
- Ergodic BSDEs under weak dissipative assumptions
- Existence of asymptotic values for nonexpansive stochastic control systems
- Ergodic problem for the Hamilton-Jacobi-Bellman equation. II
- The value function of singularly perturbed control systems
- On the Existence of a Limit Value in Some Nonexpansive Optimal Control Problems
- Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
- User’s guide to viscosity solutions of second order partial differential equations
- On ergodic stochastic control
- Representation Formulas for Limit Values of Long Run Stochastic Optimal Controls
- Vanishing Discount Limit and Nonexpansive Optimal Control and Differential Games