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