Stochastic differential games for fully coupled FBSDEs with jumps

DOI10.1007/s00245-014-9264-2zbMath1328.49037arXiv1302.0938OpenAlexW2247508444MaRDI QIDQ2355304

Wei Qingmeng, Li Juan

Publication date: 22 July 2015

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.0938

zbMATH Keywords

viscosity solutionvalue functionforward-backward stochastic differential equationsstochastic differential gamesHamilton-Jacobi-Bellman-Isaacs equationdynamic programming principlestochastic backward semigroup

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) Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (10)

Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs ⋮ A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach ⋮ The risk-sensitive maximum principle for controlled forward-backward stochastic differential equations ⋮ \(L^p\) estimates for fully coupled FBSDEs with jumps ⋮ Maximum principle for a stochastic delayed system involving terminal state constraints ⋮ Fully coupled forward-backward SDEs involving the value function and associated nonlocal Hamilton−Jacobi−Bellman equations ⋮ The Existence and Uniqueness of Viscosity Solution to a Kind of Hamilton--Jacobi--Bellman Equation ⋮ Existence and uniqueness of solution for coupled fractional mean-field forward-backward stochastic differential equations ⋮ Probabilistic interpretation of a system of coupled Hamilton-Jacobi-Bellman-Isaacs equations ⋮ A global maximum principle for optimal control of general mean-field forward-backward stochastic systems with jumps

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