Two Person Zero-Sum Game in Weak Formulation and Path Dependent Bellman--Isaacs Equation
From MaRDI portal
Publication:2930950
DOI10.1137/120894907zbMath1308.91029arXiv1209.6605OpenAlexW1971594473MaRDI QIDQ2930950
Publication date: 21 November 2014
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1209.6605
Dynamic programming in optimal control and differential games (49L20) Differential games and control (49N70) 2-person games (91A05) 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)
Related Items
On the convergence of monotone schemes for path-dependent PDEs ⋮ Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I. ⋮ Minimax and viscosity solutions of Hamilton-Jacobi-Bellman equations for time-delay systems ⋮ Moral hazard under ambiguity ⋮ Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II ⋮ Convergence of discrete-time deterministic games to path-dependent Isaacs partial differential equations under quadratic growth conditions ⋮ Path-dependent Hamilton-Jacobi equations in infinite dimensions ⋮ Dynamic programming principle for stochastic recursive optimal control problem driven by a \(G\)-Brownian motion ⋮ Dynamic Set Values for Nonzero-Sum Games with Multiple Equilibriums ⋮ Zero-sum path-dependent stochastic differential games in weak formulation ⋮ Path-Dependent Hamilton--Jacobi Equations with Super-Quadratic Growth in the Gradient and the Vanishing Viscosity Method ⋮ Perron’s method for viscosity solutions of semilinear path dependent PDEs ⋮ The Existence of Game Value for Path-dependent Stochastic Differential Game ⋮ Equivalence of minimax and viscosity solutions of path-dependent Hamilton-Jacobi equations ⋮ Second-order BSDEs with general reflection and game options under uncertainty ⋮ Measurability of semimartingale characteristics with respect to the probability law ⋮ Non-Markovian impulse control under nonlinear expectation ⋮ Comparison of Viscosity Solutions of Fully Nonlinear Degenerate Parabolic Path-Dependent PDEs ⋮ A zero-sum stochastic differential game with impulses, precommitment, and unrestricted cost functions ⋮ Stochastic differential games with random coefficients and stochastic Hamilton-Jacobi-Bellman-Isaacs equations ⋮ Viscosity solutions to parabolic master equations and McKean-Vlasov SDEs with closed-loop controls ⋮ Deep signature FBSDE algorithm ⋮ Approximate viscosity solutions of path-dependent PDEs and Dupire's vertical differentiability ⋮ A Probabilistic Representation for the Value of Zero-Sum Differential Games with Incomplete Information on Both Sides ⋮ Viscosity solutions of Hamilton-Jacobi equations for neutral-type systems ⋮ Dynamic Programming Principle and Hamilton--Jacobi--Bellman Equations for Fractional-Order Systems ⋮ Stochastic Control and Differential Games with Path-Dependent Influence of Controls on Dynamics and Running Cost ⋮ Fully nonlinear stochastic and rough PDEs: classical and viscosity solutions ⋮ A stochastic recursive optimal control problem under the G-expectation framework ⋮ Path-dependent Hamilton-Jacobi equations: the minimax solutions revised ⋮ Hedging with small uncertainty aversion ⋮ On the asymptotic optimality of the comb strategy for prediction with expert advice ⋮ Weak differentiability of Wiener functionals and occupation times ⋮ Forward backward SDEs in weak formulation ⋮ Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix ⋮ Zero-sum stochastic differential games of generalized McKean-Vlasov type ⋮ Two-player zero-sum stochastic differential games with random horizon ⋮ Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions ⋮ Path-Dependent Deep Galerkin Method: A Neural Network Approach to Solve Path-Dependent Partial Differential Equations ⋮ Viscosity solutions of path-dependent integro-differential equations ⋮ Viscosity Solutions of Path-Dependent PDEs with Randomized Time ⋮ Comparison of Viscosity Solutions of Semilinear Path-Dependent PDEs ⋮ Pseudo-Markovian viscosity solutions of fully nonlinear degenerate PPDEs ⋮ Unnamed Item ⋮ Contract Theory in a VUCA World ⋮ Feedback Stackelberg--Nash Equilibria in Mixed Leadership Games with an Application to Cooperative Advertising ⋮ Viscosity Solutions of Hamilton--Jacobi--Bellman--Isaacs Equations for Time-Delay Systems ⋮ Asymptotic Perron's Method and Simple Markov Strategies in Stochastic Games and Control ⋮ Optimal contracting under mean-volatility joint ambiguity uncertainties ⋮ Dynamic programming principle and Hamilton-Jacobi-Bellman equation under nonlinear expectation ⋮ Ergodicity of Robust Switching Control and Nonlinear System of Quasi-Variational Inequalities ⋮ Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations
