Zero-sum stochastic differential games and backward equations
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Publication:674053
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
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Cited In (only showing first 100 items - show all)
- 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
- Zero-sum risk-sensitive stochastic differential games with reflecting diffusions in the orthant
- Approximation of BSDE with non Lipschitz coefficient
- Generalized mean-field backward stochastic differential equations and related partial differential equations
- Uncertain saddle point equilibrium differential games with non-anticipating strategies
- Generalized backward doubly stochastic differential equations driven by Lévy processes with continuous coefficients
- Sequential systems of reflected backward stochastic differential equations with application to impulse control
- Backward stochastic evolution inclusions in UMD Banach spaces
- Mean-field backward stochastic differential equations in general probability spaces
- Generalized BSDE with two reflecting barriers
- Title not available (Why is that?)
- Explicit High Order One-Step Methods for Decoupled Forward Backward Stochastic Differential Equations
- Approximation Scheme for Solutions of BSDEs with Two Reflecting Barriers
- Euler-type schemes for weakly coupled forward-backward stochastic differential equations and optimal convergence analysis
- Backward doubly SDEs with continuous and stochastic linear growth coefficients
- Backward stochastic Volterra integral equations with additive perturbations
- A BSDE approach to stochastic differential games involving impulse controls and HJBI equation
- BSDEs driven by normal martingale
- On the convergence of closed-loop Nash equilibria to the mean field game limit
- Zero-sum path-dependent stochastic differential games in weak formulation
- Mean-field backward stochastic differential equations with subdifferential operator and its applications
- Forward backward SDEs in weak formulation
- Multidimensional backward doubly stochastic differential equations with integral non-Lipschitz coefficients
- An asymmetric information non-zero sum differential game of mean-field backward stochastic differential equation with applications
- Backward doubly stochastic differential equations with stochastic Lipschitz condition
- A Stackelberg game of backward stochastic differential equations with partial information
- Weak Solutions of Mean-Field Stochastic Differential Equations and Application to Zero-Sum Stochastic Differential Games
- Numerical Approximation of the Value of a Stochastic Differential Game with Asymmetric Information
- The adapted solutions and comparison theorem for anticipated backward stochastic differential equations with Poisson jumps under the weak conditions
- Backward stochastic dynamics with a subdifferential operator and non-local parabolic variational inequalities
- Penalization method for reflected BDSDEs with two-sided jumps and driven by Lévy process
- Stochastic optimization theory of backward stochastic differential equations driven by G-Brownian motion
- Double barrier reflected BSDEs with stochastic Lipschitz coefficient
- Fractional backward stochastic variational inequalities with non-Lipschitz coefficient
- Mean-field type games between two players driven by backward stochastic differential equations
- Reflections on BSDEs
- A kind of stochastic recursive Zero-Sum differential game problem with double obstacles constraint
- A comonotonic theorem for backward stochastic differential equations in \(L^p\) and its applications
- An approximation result for a nonlinear Neumann boundary value problem via BSDEs
- Multi-valued backward stochastic differential equations driven byG-Brownian motion and its applications
- 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
- Lp-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
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