Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
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Publication:3614801
DOI10.1137/060671954zbMath1157.93040arXivmath/0702131MaRDI QIDQ3614801
Publication date: 10 March 2009
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0702131
viscosity solution; backward stochastic differential equations; value function; stochastic differential games; dynamic programming principle
49L20: Dynamic programming in optimal control and differential games
49N70: Differential games and control
91A23: Differential games (aspects of game theory)
90C39: Dynamic programming
93E20: Optimal stochastic control
91A15: Stochastic games, stochastic differential games
49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games
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