Probabilistic interpretation of a system of coupled Hamilton-Jacobi-Bellman-Isaacs equations

DOI10.1051/cocv/2020070zbMath1467.91009MaRDI QIDQ4999594

Juan Li, Qingmeng Wei, Wenqiang Li

Publication date: 7 July 2021

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/cocv/2020070

zbMATH Keywords

stochastic differential games; HJBI equations; coupled FBSDEs with jumps; strong dynamic programming principle

Mathematics Subject Classification ID

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

49N70: Differential games and control

91A15: Stochastic games, stochastic differential games

49L12: Hamilton-Jacobi equations in optimal control and differential games

Cites Work

• Probabilistic interpretation of a coupled system of Hamilton-Jacobi-Bellman equations
• Stochastic representation for solutions of Isaacs' type integral-partial differential equations
• Backward stochastic differential equations with jumps and related nonlinear expectations
• Probabilistic interpretation of a system of semilinear parabolic partial differential equations
• Stochastic differential games for fully coupled FBSDEs with jumps
• \(L^p\) estimates for fully coupled FBSDEs with jumps
• Backward stochastic differential equations and integral-partial differential equations
• Optimal Control Problems of Fully Coupled FBSDEs and Viscosity Solutions of Hamilton--Jacobi--Bellman Equations
• Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation