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

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zbMATH Keywords

Backward stochastic differential equationsSaddle pointZero-sum stochastic differential games

Mathematics Subject Classification ID

Probabilistic games; gambling (91A60)

Cites Work

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• Backward Stochastic Differential Equations in Finance
• Adapted solution of a backward stochastic differential equation
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• On the Existence of Optimal Policies in Stochastic Control
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• 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)

• 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
• 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

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