Weak Solutions of Mean-Field Stochastic Differential Equations and Application to Zero-Sum Stochastic Differential Games
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Publication:3178443
DOI10.1137/15M1015583zbMath1346.60085MaRDI QIDQ3178443
Publication date: 13 July 2016
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
weak solutionbackward stochastic differential equationGirsanov transformationmean-field stochastic differential equationuniqueness in lawzero-sum stochastic differential gamesaddle point controls
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic games, stochastic differential games (91A15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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