One-dimensional game-theoretic differential equations

DOI10.1016/J.IJAR.2021.03.003arXiv2101.08041WikidataQ115352309 ScholiaQ115352309MaRDI QIDQ6358652FDOQ6358652

Nicolas Perkowski, Rafał M. Łochowski, David J. Prömel

Publication date: 20 January 2021

Abstract: We provide a very brief introduction to typical paths and the corresponding It^o type integration. Relying on this robust It^o integration, we prove an existence and uniqueness result for one-dimensional differential equations driven by typical paths with non-Lipschitz continuous coefficients in the spirit of Yamada--Watanabe as well as an approximation result in the spirit of Doss--Sussmann.

Mathematics Subject Classification ID

Reasoning under uncertainty in the context of artificial intelligence (68T37)

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