Zero-sum stochastic differential games and backward equations

DOI10.1016/0167-6911(94)00011-JzbMATH Open0877.93125OpenAlexW2046047743MaRDI QIDQ674053FDOQ674053

Authors: Said Hamadène, J.-P. Lepeltier 

Publication date: 28 February 1997

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(94)00011-j

Recommendations

• Backward equations, stochastic control and zero-sum stochastic differential games
• Stochastic zero-sum differential games and backward stochastic differential equations
• On the value of stochastic differential games
• Nonzero sum linear–quadratic stochastic differential games and backward–forward equations
• Zero-sum stochastic differential games with risk-sensitive cost

zbMATH Keywords

Backward stochastic differential equationsSaddle pointZero-sum stochastic differential games

Mathematics Subject Classification ID

Probabilistic games; gambling (91A60)

Cites Work

• Title not available (Why is that?)
• Backward Stochastic Differential Equations in Finance
• Adapted solution of a backward stochastic differential equation
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• On the Existence of Optimal Policies in Stochastic Control
• Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems
• Dynamic Programming Conditions for Partially Observable Stochastic Systems
• Optimal Play in a Stochastic Differential Game
• The Existence of Value in Stochastic Differential Games

Cited In (only showing first 100 items - show all)

• Quadratic BSDEs with jumps and related PIDEs
• Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection
• Second-order BSDEs with general reflection and game options under uncertainty
• Reflected backward stochastic differential equations with time delayed generators
• Anticipated backward doubly stochastic differential equations
• Backward doubly stochastic differential equations with discontinuous coefficients
• A BSDE approach to stochastic differential games with incomplete information
• Backward stochastic differential equations with reflection and Dynkin games
• Filtration consistent nonlinear expectations and evaluations of contingent claims
• L^p-Solutions for Doubly Reflected Backward Stochastic Differential Equations
• On a class of backward stochastic Volterra integral equations
• Comparison Theorems of Backward Doubly Stochastic Differential Equations and Applications
• Price game and chaos control among three oligarchs with different rationalities in property insurance market
• Reflected solutions of backward stochastic differential equations with continuous coefficient
• BSDEs with random default time and related zero-sum stochastic differential games
• Stochastic optimal control problems under G-expectation
• Reflected solutions of generalized anticipated BSDEs and application to reflected BSDEs with functional barrier
• Approximation scheme for solutions of backward stochastic differential equations via the representation theorem
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Reflected BSDE driven by a Lévy process
• Stochastic recursive zero-sum differential game and mixed zero-sum differential game problem
• BSDE with rcll reflecting barrier driven by a Lévy process
• Reflected BSDEs driven by inhomogeneous simple Lévy processes with rcll barrier
• Reflected generalized BSDEs with discontinuous barriers driven by a Lévy process
• \(L^p\)-solution of reflected generalized BSDEs with non-Lipschitz coefficients
• Anticipated backward stochastic differential equations driven by the Teugels martingales
• Backward-forward SDE's and stochastic differential games
• Nash equilibrium payoffs for non-zero-sum stochastic differential games without Isaacs condition
• Comparison theorems for the multidimensional BDSDEs and applications
• Stochastic differential games with reflection and related obstacle problems for Isaacs equations
• Stochastic optimal control and BSDEs with logarithmic growth
• A maximum principle for partially observed optimal control of forward-backward stochastic control systems
• A kind of non-zero sum mixed differential game of backward stochastic differential equation
• A zero-sum stochastic differential game with impulses, precommitment, and unrestricted cost functions
• Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition
• Doubly reflected BSDEs driven by a Lévy process
• Generalized BSDE driven by a Lévy process
• A Stackelberg game of backward stochastic differential equations with applications
• On solutions of backward stochastic Volterra integral equations with jumps in Hilbert spaces
• A class of backward doubly stochastic differential equations with non-Lipschitz coefficients
• Stochastic differential switching game in infinite horizon
• Backward representation of Markov jump processes and related problems. I. Optimal linear estimation
• Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator
• A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis
• Forward and backward filtering based on backward stochastic differential equations
• Existence of Nash equilibrium points for Markovian non-zero-sum stochastic differential games with unbounded coefficients
• A Fully Discrete Explicit Multistep Scheme for Solving Coupled Forward Backward Stochastic Differential Equations
• Reflected generalized backward doubly SDEs driven by Lévy processes and applications
• Stochastic PDIEs and backward doubly stochastic differential equations driven by Lévy processes
• Stochastic zero-sum differential games and backward stochastic differential equations
• SPDIEs and BSDEs driven by Lévy processes and countable Brownian motions
• Reflected Backward Stochastic Differential Equation with Locally Monotone Coefficient
• Regularity and representation of viscosity solutions of partial differential equations via backward stochastic differential equations
• Homogenization of reflected semilinear PDEs with nonlinear Neumann boundary condition
• General existence results for reflected BSDE and BSDE
• Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient
• An Optimal Feedback Control-Strategy Pair For Zero-Sum Linear-Quadratic Stochastic Differential Game: the Riccati Equation Approach
• Stochastic representation for solutions of Isaacs' type integral-partial differential equations
• A probabilistic-numerical approximation for an obstacle problem arising in game theory
• Anticipated backward stochastic differential equations on Markov chains
• Reflected backward stochastic differential equation with jumps and RCLL obstacle
• Existence and uniqueness for reflected BSDE with multivariate point process and right upper semicontinuous obstacle
• Probabilistic interpretation for systems of Isaacs equations with two reflecting barriers
• Reflected BSDEs and mixed game problem
• Reflected BSDE of Wiener-Poisson type in time-dependent domains
• Optimal control and zero-sum stochastic differential game problems of mean-field type
• Anticipative backward stochastic differential equations driven by fractional Brownian motion
• Stochastic optimization theory of backward stochastic differential equations driven by G-Brownian motion
• The maximum principle for one kind of stochastic optimization problem and application in dynamic measure of risk
• \(L^{p}\)-solutions for reflected backward stochastic differential equations
• Discontinuous Nash equilibrium points for nonzero-sum stochastic differential games
• Dynkin Game of Stochastic Differential Equations with Random Coefficients and Associated Backward Stochastic Partial Differential Variational Inequality
• Nash equilibrium point for one kind of stochastic nonzero-sum game problem and BSDEs
• BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
• High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion
• Reflected backward stochastic differential equations driven by a Lévy process
• Doubly reflected generalized BSDEs with jumps and an obstacle problem of parabolic IPDEs with nonlinear Neumann boundary conditions
• BSDE driven by a simple Lévy process with continuous coefficient
• Fractional backward SDEs with locally monotone coefficient and application to PDEs
• Two-player zero-sum stochastic differential games with regime switching
• Stochastic differential games with controlled regime-switching
• Reflected generalized discontinuous BSDEs with rcll barrier and an obstacle problem of IPDE with nonlinear Neumann boundary conditions
• Stochastic differential games: a sampling approach via FBSDEs
• A CLASS OF TWO-PARAMETER BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY A BROWNIAN SHEET
• Backward stochastic differential equations with non-Lipschitz time delayed generators
• Homogenization of Multivalued Partial Differential Equations via Reflected Backward Stochastic Differential Equations
• BSDE driven by Poisson point processes with discontinuous coefficient
• Mixed zero-sum stochastic differential game and doubly reflected BSDEs with a specific generator
• Zero-sum stochastic differential games of generalized McKean-Vlasov type
• Infinite horizon reflected backward stochastic differential equations with Markov chains
• On derivatives with illiquid underlying and market manipulation
• REFLECTED BSDES WITH STOCHASTIC MONOTONE GENERATOR AND APPLICATION TO VALUING AMERICAN OPTIONS
• Explicit multistep stochastic characteristic approximation methods for forward backward stochastic differential equations
• Singular control of stochastic linear systems with recursive utility
• Two-player zero-sum stochastic differential games with regime switching and corresponding Hamilton-Jacobi-Bellman-Isaacs' equations
• Anticipated backward stochastic differential equations and their applications to zero-sum stochastic differential games
• The stochastic maximum principle in singular optimal control with recursive utilities
• Generalized backward doubly stochastic differential equations driven by Lévy processes with discontinuous and linear growth coefficients
• One kind of linear-quadratic zero-sum stochastic differential game with jumps
• Limit theorems for BSDE with local time applications to non-linear PDE

This page was built for publication: Zero-sum stochastic differential games and backward equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q674053)