Stochastic representation for solutions of Isaacs' type integral-partial differential equations

DOI10.1016/J.SPA.2011.07.011zbMATH Open1243.91011OpenAlexW2005040225MaRDI QIDQ645592FDOQ645592

Authors: Rainer Buckdahn, Ying Hu, Juan Li 

Publication date: 10 November 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2011.07.011

Recommendations

• Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
• Publication:4205251
• Differential games for stochastic partial differential equations
• Probabilistic interpretation for systems of Isaacs equations with two reflecting barriers
• Stochastic differential games for fully coupled FBSDEs with jumps

zbMATH Keywords

backward stochastic differential equationsstochastic differential gamesvalue functionviscosity solutionPoisson random measuredynamic programming principleintegralpartial differential operators

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15)

Cites Work

• Title not available (Why is that?)
• Switching Games of Stochastic Differential Systems
• Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
• User’s guide to viscosity solutions of second order partial differential equations
• Title not available (Why is that?)
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Title not available (Why is that?)
• Adapted solution of a backward stochastic differential equation
• Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
• Backward stochastic differential equations and integral-partial differential equations
• Risk minimizing portfolios and HJBI equations for stochastic differential games
• Nash Equilibrium Payoffs for Nonzero-Sum Stochastic Differential Games
• Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton-Jacobi-Bellman equations
• Zero-sum stochastic differential games and backward equations
• Title not available (Why is that?)
• Probabilistic interpretation for systems of Isaacs equations with two reflecting barriers

Cited In (23)

• On the dynamic programming principle for uniformly nondegenerate stochastic differential games in domains and the Isaacs equations
• Title not available (Why is that?)
• Stochastic representations for solutions to parabolic Dirichlet problems for nonlocal Bellman equations
• Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs
• Controlled mean-field backward stochastic differential equations with jumps involving the value function
• Backward reachability approach to state-constrained stochastic optimal control problem for jump-diffusion models
• Two-player zero-sum stochastic differential games with regime switching and corresponding Hamilton-Jacobi-Bellman-Isaacs' equations
• Probabilistic interpretation of a system of coupled Hamilton-Jacobi-Bellman-Isaacs equations
• A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach
• Stochastic differential games for fully coupled FBSDEs with jumps
• Nash equilibrium payoffs for stochastic differential games with jumps and coupled nonlinear cost functionals
• Continuous viscosity solutions for nonlocal Dirichlet problems with coercive gradient terms
• Viscosity solutions of second order integral-partial differential equations without monotonicity condition: A new result
• An Optimal Feedback Control-Strategy Pair For Zero-Sum Linear-Quadratic Stochastic Differential Game: the Riccati Equation Approach
• Integro-PDE in Hilbert spaces: existence of viscosity solutions
• Perron's method for nonlocal fully nonlinear equations
• \(L^p\) estimates for fully coupled FBSDEs with jumps
• Differential games for stochastic partial differential equations
• Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
• Stochastic representation for solutions of a system of coupled HJB-Isaacs equations with integral-differential operators
• Probabilistic interpretation for systems of Isaacs equations with two reflecting barriers
• Stochastic target games with controlled loss
• Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems

This page was built for publication: Stochastic representation for solutions of Isaacs' type integral-partial differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q645592)