Zero-sum stochastic differential games and backward equations
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Publication:674053
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Cites work
- scientific article; zbMATH DE number 3740439 (Why is no real title available?)
- Adapted solution of a backward stochastic differential equation
- Backward Stochastic Differential Equations in Finance
- Dynamic Programming Conditions for Partially Observable Stochastic Systems
- Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems
- On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
- On the Existence of Optimal Policies in Stochastic Control
- Optimal Play in a Stochastic Differential Game
- The Existence of Value in Stochastic Differential Games
Cited in
(only showing first 100 items - show all)- Lp-Solutions for Doubly Reflected Backward Stochastic Differential Equations
- Price game and chaos control among three oligarchs with different rationalities in property insurance market
- Reflected BSDEs and mixed game problem
- Quadratic BSDEs with jumps and related PIDEs
- Reflected backward stochastic differential equation with jumps and RCLL obstacle
- Stochastic representation for solutions of Isaacs' type integral-partial differential equations
- Nash equilibrium payoffs for non-zero-sum stochastic differential games without Isaacs condition
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- A BSDE approach to stochastic differential games with incomplete information
- A probabilistic-numerical approximation for an obstacle problem arising in game theory
- Backward representation of Markov jump processes and related problems. I. Optimal linear estimation
- Reflected BSDE driven by a Lévy process
- Stochastic recursive zero-sum differential game and mixed zero-sum differential game problem
- Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator
- BSDE with rcll reflecting barrier driven by a Lévy process
- Reflected BSDEs driven by inhomogeneous simple Lévy processes with rcll barrier
- Discontinuous Nash equilibrium points for nonzero-sum stochastic differential games
- Reflected generalized BSDEs with discontinuous barriers driven by a Lévy process
- Reflected Backward Stochastic Differential Equation with Locally Monotone Coefficient
- Anticipated backward doubly stochastic differential equations
- \(L^p\)-solution of reflected generalized BSDEs with non-Lipschitz coefficients
- A Stackelberg game of backward stochastic differential equations with applications
- Reflected solutions of backward stochastic differential equations with continuous coefficient
- Probabilistic interpretation for systems of Isaacs equations with two reflecting barriers
- Reflected solutions of generalized anticipated BSDEs and application to reflected BSDEs with functional barrier
- Regularity and representation of viscosity solutions of partial differential equations via backward stochastic differential equations
- Reflected BSDE of Wiener-Poisson type in time-dependent domains
- Reflected generalized backward doubly SDEs driven by Lévy processes and applications
- Stochastic PDIEs and backward doubly stochastic differential equations driven by Lévy processes
- On a class of backward stochastic Volterra integral equations
- Stochastic optimal control problems under G-expectation
- Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection
- Second-order BSDEs with general reflection and game options under uncertainty
- Comparison theorems for the multidimensional BDSDEs and applications
- A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis
- A maximum principle for partially observed optimal control of forward-backward stochastic control systems
- Anticipated backward stochastic differential equations on Markov chains
- Approximation scheme for solutions of backward stochastic differential equations via the representation theorem
- Anticipated backward stochastic differential equations driven by the Teugels martingales
- The maximum principle for one kind of stochastic optimization problem and application in dynamic measure of risk
- General existence results for reflected BSDE and BSDE
- Optimal control and zero-sum stochastic differential game problems of mean-field type
- 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
- Nash equilibrium point for one kind of stochastic nonzero-sum game problem and BSDEs
- Dynkin Game of Stochastic Differential Equations with Random Coefficients and Associated Backward Stochastic Partial Differential Variational Inequality
- \(L^{p}\)-solutions for reflected backward stochastic differential equations
- Backward stochastic differential equations with reflection and Dynkin games
- A fully discrete explicit multistep scheme for solving coupled forward backward stochastic differential equations
- On solutions of backward stochastic Volterra integral equations with jumps in Hilbert spaces
- Reflected backward stochastic differential equations with time delayed generators
- BSDEs with random default time and related zero-sum stochastic differential games
- Existence and uniqueness for reflected BSDE with multivariate point process and right upper semicontinuous obstacle
- Comparison Theorems of Backward Doubly Stochastic Differential Equations and Applications
- BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
- Forward and backward filtering based on backward stochastic differential equations
- Homogenization of reflected semilinear PDEs with nonlinear Neumann boundary condition
- Filtration consistent nonlinear expectations and evaluations of contingent claims
- Anticipative backward stochastic differential equations driven by fractional Brownian motion
- Reflected backward stochastic differential equations driven by a Lévy process
- 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
- Backward doubly stochastic differential equations with discontinuous coefficients
- Stochastic optimal control and BSDEs with logarithmic growth
- Stochastic differential games with reflection and related obstacle problems for Isaacs equations
- A class of backward doubly stochastic differential equations with non-Lipschitz coefficients
- Backward-forward SDE's and stochastic differential games
- High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion
- Stochastic zero-sum differential games and backward stochastic differential equations
- Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient
- SPDIEs and BSDEs driven by Lévy processes and countable Brownian motions
- An optimal feedback control-strategy pair for zero-sum linear-quadratic stochastic differential game: the Riccati equation approach
- Generalized BSDE driven by a Lévy process
- Existence of Nash equilibrium points for Markovian non-zero-sum stochastic differential games with unbounded coefficients
- Stochastic differential switching game in infinite horizon
- The stochastic maximum principle in singular optimal control with recursive utilities
- BSDE driven by Poisson point processes with discontinuous coefficient
- Reflections on BSDEs
- BSDEs driven by normal martingale
- Stochastic differential games: a sampling approach via FBSDEs
- Approximation Scheme for Solutions of BSDEs with Two Reflecting Barriers
- Doubly reflected generalized BSDEs with jumps and an obstacle problem of parabolic IPDEs with nonlinear Neumann boundary conditions
- On the convergence of closed-loop Nash equilibria to the mean field game limit
- Mean-field backward stochastic differential equations in general probability spaces
- Fractional backward SDEs with locally monotone coefficient and application to PDEs
- Multidimensional backward doubly stochastic differential equations with integral non-Lipschitz coefficients
- Double barrier reflected BSDEs with stochastic Lipschitz coefficient
- An asymmetric information non-zero sum differential game of mean-field backward stochastic differential equation with applications
- 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
- Reflected BDSDEs with stochastic monotone generator and application to valuing American options
- BSDE driven by a simple Lévy process with continuous coefficient
- Backward stochastic dynamics with a subdifferential operator and non-local parabolic variational inequalities
- Backward doubly stochastic differential equations with stochastic Lipschitz condition
- Generalized mean-field backward stochastic differential equations and related partial differential equations
- Mean-field backward stochastic differential equations with subdifferential operator and its applications
- A comonotonic theorem for backward stochastic differential equations in \(L^p\) and its applications
- Mixed zero-sum stochastic differential game and doubly reflected BSDEs with a specific generator
- Zero-sum path-dependent stochastic differential games in weak formulation
- Forward backward SDEs in weak formulation
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