On Zero-Sum Stochastic Differential Games with Jump-Diffusion Driven State: A Viscosity Solution Framework
DOI10.1137/080720504zbMath1253.91027arXiv1009.4949OpenAlexW2017375008MaRDI QIDQ3143239
Publication date: 29 November 2012
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1009.4949
dynamic programmingLévy processesintegro-partial differential equationviscosity solutionsstochastic differential games
Dynamic programming in optimal control and differential games (49L20) Differential games (aspects of game theory) (91A23) Integro-partial differential equations (45K05) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Functional analysis in probabilistic metric linear spaces (46S50)
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