On the dynamic programming principle for uniformly nondegenerate stochastic differential games in domains
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Publication:2447713
Abstract: We prove the dynamic programming principe for uniformly nondegenerate stochastic differential games in the framework of time-homogeneous diffusion processes considered up to the first exit time from a domain. The zeroth-order "coefficient" and the "free" term are only assumed to be measurable. In contrast with previous results established for constant stopping times we allow arbitrary stopping times and randomized ones as well. The main assumption, which will be removed in a subsequent article, is that there exists a sufficiently regular solution of the Isaacs equation.
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Cited in
(7)- On the independence of the value function for stochastic differential games of the probability space
- On regularity properties and approximations of value functions for stochastic differential games in domains
- Approximating the value functions for stochastic differential games with the ones having bounded second derivatives
- On the dynamic programming principle for uniformly nondegenerate stochastic differential games in domains and the Isaacs equations
- Zero-sum path-dependent stochastic differential games in weak formulation
- Asymptotic \(C^{1,\gamma}\)-regularity for value functions to uniformly elliptic dynamic programming principles
- The dynamic programming method of stochastic differential game for functional forward-backward stochastic system
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