Existence results for Isaacs equations with local conditions and related semilinear Cauchy problems

DOI10.4064/AP171005-28-6zbMATH Open1421.35194arXiv1608.08997OpenAlexW2515022438WikidataQ129213144 ScholiaQ129213144MaRDI QIDQ4963296FDOQ4963296

Authors: Dariusz Zawisza 

Publication date: 1 November 2018

Published in: Annales Polonici Mathematici (Search for Journal in Brave)

Abstract: Our goal is to prove existence results for classical solutions to some general nondegenerate Cauchy problems which are natural generalizations of Isaacs equations. For the latter we are able to extend our results by admitting local conditions for coefficients. Such equations appear naturally for instance in robust control theory. Using our general results, we can solve not only Isaacs equations, but also equations for other sophisticated control problems, for instance models with state dependent constraints on the control set.

Full work available at URL: https://arxiv.org/abs/1608.08997

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zbMATH Keywords

Cauchy problemrobust controlstochastic gamesemilinear parabolic equationHamilton-Jacobi-Bellman-Isaacs equation

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Nonlinear parabolic equations (35K55) Semilinear parabolic equations (35K58) PDEs in connection with control and optimization (35Q93) Existence theories for optimal control problems involving partial differential equations (49J20) Stochastic games, stochastic differential games (91A15) Classical solutions to PDEs (35A09)

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Cited In (2)

• On the parabolic equation for portfolio problems
• The investor problem based on the HJM model

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