Zero-sum stochastic differential games and backward equations

DOI10.1016/0167-6911(94)00011-JzbMath0877.93125MaRDI QIDQ674053

Said Hamadène, Jean-Pierre Lepeltier

Publication date: 28 February 1997

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

zbMATH Keywords

Saddle point; Backward stochastic differential equations; Zero-sum stochastic differential games

Mathematics Subject Classification ID

91A60: Probabilistic games; gambling

Related Items

Homogenization of Multivalued Partial Differential Equations via Reflected Backward Stochastic Differential Equations, Comparison Theorems of Backward Doubly Stochastic Differential Equations and Applications, A CLASS OF TWO-PARAMETER BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY A BROWNIAN SHEET, Reflected Backward Stochastic Differential Equation with Locally Monotone Coefficient, Generalized BSDE with two reflecting barriers, L^p-SOLUTIONS FOR REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS, Approximation Scheme for Solutions of BSDEs with Two Reflecting Barriers, REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY A LÉVY PROCESS, A BSDE approach to stochastic differential games with incomplete information, Doubly reflected BSDEs driven by a Lévy process, Reflected solutions of generalized anticipated BSDEs and application to reflected BSDEs with functional barrier, Reflected backward stochastic differential equations with time delayed generators, Comparison theorems for the multidimensional BDSDEs and applications, A maximum principle for partially observed optimal control of forward-backward stochastic control systems, General existence results for reflected BSDE and BSDE, Stochastic representation for solutions of Isaacs' type integral-partial differential equations, Filtration consistent nonlinear expectations and evaluations of contingent claims, A class of backward doubly stochastic differential equations with non-Lipschitz coefficients, Probabilistic interpretation for systems of Isaacs equations with two reflecting barriers, Reflected BSDE driven by a Lévy process, Backward representation of Markov jump processes and related problems. I. Optimal linear estimation, Generalized BSDE driven by a Lévy process, BSDE driven by a simple Lévy process with continuous coefficient, On solutions of backward stochastic Volterra integral equations with jumps in Hilbert spaces, Backward doubly stochastic differential equations with discontinuous coefficients, Reflected solutions of backward SDE's, and related obstacle problems for PDE's, Reflected solutions of backward stochastic differential equations with continuous coefficient, Reflected BSDEs and mixed game problem, BSDEs with random default time and related zero-sum stochastic differential games, Nash equilibrium point for one kind of stochastic nonzero-sum game problem and BSDEs, Stochastic PDIEs and backward doubly stochastic differential equations driven by Lévy processes, Reflected backward stochastic differential equation with jumps and RCLL obstacle, Approximation scheme for solutions of backward stochastic differential equations via the representation theorem, The maximum principle for one kind of stochastic optimization problem and application in dynamic measure of risk, Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient, An approximation result for a nonlinear Neumann boundary value problem via BSDEs, Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator, Singular control of stochastic linear systems with recursive utility, Regularity and representation of viscosity solutions of partial differential equations via backward stochastic differential equations, BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations., Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition, Lp -solution of reflected generalized BSDEs with non-Lipschitz coefficients, On derivatives with illiquid underlying and market manipulation, Homogenization of reflected semilinear PDEs with nonlinear Neumann boundary condition, L^p-Solutions for Doubly Reflected Backward Stochastic Differential Equations, Limit theorems for BSDE with local time applications to non-linear PDE

Cites Work

• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• Optimal Play in a Stochastic Differential Game
• The Existence of Value in Stochastic Differential Games
• Backward Stochastic Differential Equations in Finance
• Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems
• On the Existence of Optimal Policies in Stochastic Control
• Dynamic Programming Conditions for Partially Observable Stochastic Systems