Stochastic representation for solutions of Isaacs' type integral-partial differential equations
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Cites work
- scientific article; zbMATH DE number 5604590 (Why is no real title available?)
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- A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
- Adapted solution of a backward stochastic differential equation
- Backward stochastic differential equations and integral-partial differential equations
- Nash Equilibrium Payoffs for Nonzero-Sum Stochastic Differential Games
- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
- Probabilistic interpretation for systems of Isaacs equations with two reflecting barriers
- Risk minimizing portfolios and HJBI equations for stochastic differential games
- Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
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Cited in
(26)- On the dynamic programming principle for uniformly nondegenerate stochastic differential games in domains and the Isaacs equations
- Backward reachability approach to state-constrained stochastic optimal control problem for jump-diffusion models
- scientific article; zbMATH DE number 4125214 (Why is no real title available?)
- Integro-PDE in Hilbert spaces: existence of viscosity solutions
- Stochastic representation for solutions of a system of coupled HJB-Isaacs equations with integral-differential operators
- Stochastic representations for solutions to parabolic Dirichlet problems for nonlocal Bellman equations
- Probabilistic interpretation for systems of Isaacs equations with two reflecting barriers
- Continuous viscosity solutions for nonlocal Dirichlet problems with coercive gradient terms
- Perron's method for nonlocal fully nonlinear equations
- Differential games for stochastic partial differential equations
- A representation theorem approach to probabilistic interpretation for viscosity solutions of Isaacs equations
- Nash equilibrium payoffs for stochastic differential games with jumps and coupled nonlinear cost functionals
- Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs
- \(L^p\) estimates for fully coupled FBSDEs with jumps
- A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach
- Stochastic differential games with competing Brownian particles and related Isaacs' equations
- Stochastic target games with controlled loss
- Stochastic differential games for fully coupled FBSDEs with jumps
- Two-player zero-sum stochastic differential games with regime switching and corresponding Hamilton-Jacobi-Bellman-Isaacs' equations
- Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems
- Probabilistic interpretation of a system of coupled Hamilton-Jacobi-Bellman-Isaacs equations
- Controlled mean-field backward stochastic differential equations with jumps involving the value function
- Viscosity solutions of second order integral-partial differential equations without monotonicity condition: A new result
- BSDEs in games, coupled with the value functions, associated nonlocal Bellman-Isaacs equations
- An optimal feedback control-strategy pair for zero-sum linear-quadratic stochastic differential game: the Riccati equation approach
- Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
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