Two-player zero-sum stochastic differential games with random horizon
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Publication:5203980
DOI10.1017/APR.2019.47zbMATH Open1430.49039OpenAlexW2983173405WikidataQ126808242 ScholiaQ126808242MaRDI QIDQ5203980FDOQ5203980
Authors:
Publication date: 9 December 2019
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/apr.2019.47
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Differential games and control (49N70) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stochastic games, stochastic differential games (91A15)
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Cited In (6)
- Uncertain stochastic hybrid zero-sum games based on forward uncertain difference equations and backward stochastic difference equations
- Existence of value in stochastic differential games of mixed type
- A linear-quadratic mean-field stochastic Stackelberg differential game with random exit time
- A weak dynamic programming principle for zero-sum stochastic differential games with unbounded controls
- Differential inequality approach for deterministic approximation in two person zero-sum stochastic differential games
- On zero-sum stochastic differential games with jump-diffusion driven state: a viscosity solution framework
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