On the dynamic programming principle for uniformly nondegenerate stochastic differential games in domains

DOI10.1016/J.SPA.2013.03.004zbMATH Open1287.49027arXiv1205.0048OpenAlexW2060627832MaRDI QIDQ2447713FDOQ2447713

Authors: N. V. Krylov 

Publication date: 28 April 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1205.0048

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zbMATH Keywords

stochastic differential gamesdynamic programming principleIsaacs equation

Mathematics Subject Classification ID

Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Dynamic programming in optimal control and differential games (49L20) Stochastic games, stochastic differential games (91A15) Optimal stochastic control (93E20)

Cites Work

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Cited In (7)

• On the dynamic programming principle for uniformly nondegenerate stochastic differential games in domains and the Isaacs equations
• 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
• The dynamic programming method of stochastic differential game for functional forward-backward stochastic system
• On the independence of the value function for stochastic differential games of the probability space
• Zero-sum path-dependent stochastic differential games in weak formulation
• Asymptotic \(C^{1,\gamma}\)-regularity for value functions to uniformly elliptic dynamic programming principles

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