A Weak Dynamic Programming Principle for Zero-Sum Stochastic Differential Games with Unbounded Controls
DOI10.1137/120897638zbMath1272.49082arXiv1210.2788OpenAlexW3123934717MaRDI QIDQ2848575
Publication date: 26 September 2013
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1210.2788
backward stochastic differential equationsviscosity solutionsfully nonlinear PDEsweak dynamic programming principlezero-sum stochastic differential gamesElliott-Kalton strategies
Dynamic programming in optimal control and differential games (49L20) Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Probabilistic games; gambling (91A60)
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