Value in mixed strategies for zero-sum stochastic differential games without Isaacs condition

DOI10.1214/13-AOP849zbMath1296.49034arXiv1407.7326MaRDI QIDQ400582

Rainer Buckdahn, Marc Quincampoix, Juan Li

Publication date: 22 August 2014

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.7326

zbMATH Keywords

viscosity solution; backward stochastic differential equations; value function; Isaacs condition; dynamic programming principle; 2-person zero-sum stochastic differential game; randomized controls

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

49L20: Dynamic programming in optimal control and differential games

49N70: Differential games and control

91A05: 2-person games

91A23: Differential games (aspects of game theory)

91A15: Stochastic games, stochastic differential games

49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games

Related Items

Zero-Sum Stochastic Differential Games Without the Isaacs Condition: Random Rules of Priority and Intermediate Hamiltonians, Nash equilibria for nonzero-sum ergodic stochastic differential games, Dynamic Set Values for Nonzero-Sum Games with Multiple Equilibriums, Nash equilibrium payoffs for non-zero-sum stochastic differential games without Isaacs condition, Differential Games, Two-player zero-sum stochastic differential games with random horizon, Contract Theory in a VUCA World, Asymptotic Perron's Method and Simple Markov Strategies in Stochastic Games and Control, Zero-sum risk-sensitive stochastic differential games with reflecting diffusions in the orthant, Differential games with incomplete information on a continuum of initial positions and without Isaacs condition, Differential games with asymmetric information and without Isaacs' condition, Zero-sum path-dependent stochastic differential games in weak formulation

Cites Work

• Value function of differential games without Isaacs conditions. An approach with nonanticipative mixed strategies
• Some recent aspects of differential game theory
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• Exponentially growing solutions of parabolic Isaacs' equations
• Another approach to the existence of value functions of stochastic differential games
• Backward Stochastic Differential Equations Driven By Càdlàg Martingales
• Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
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• Nash Equilibrium Payoffs for Nonzero-Sum Stochastic Differential Games
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