On the independence of the value function for stochastic differential games of the probability space

DOI10.1016/J.SPA.2014.07.021zbMATH Open1307.91033arXiv1404.2972OpenAlexW2024427137MaRDI QIDQ744245FDOQ744245

Authors: N. V. Krylov 

Publication date: 6 October 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We show that the value function in a stochastic differential game does not change if we keep the same space $(Omega,mathcalF)$ but introduce probability measures by means of Girsanov's transformation {em depending} on the policies of the players. We also show that the value function does not change if we allow the driving Wiener processes to depend on the policies of the players. Finally, we show that the value function does not change if we perform a random time change with the rate depending on the policies of the players.

Full work available at URL: https://arxiv.org/abs/1404.2972

Recommendations

• Another approach to the existence of value functions of stochastic differential games
• Publication:4205251
• The existence of game value for path-dependent stochastic differential game
• On regularity properties and approximations of value functions for stochastic differential games in domains
• On the value of stochastic differential games
• Existence of value in stochastic differential games of mixed type
• On game-theoretic characterisation of stochastic independence
• Caracterizacion de la funcion de valor de los juegos estocasticos continuos
• On value function of stochastic differential games in infinite dimensions and its application to sensitive control
• Approximating the value functions for stochastic differential games with the ones having bounded second derivatives

zbMATH Keywords

stochastic differential gamesvalue functionsIsaacs equation

Mathematics Subject Classification ID

Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic games, stochastic differential games (91A15)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• The maximum principle for viscosity solutions of fully nonlinear second order partial differential equations
• On the existence of smooth solutions for fully nonlinear elliptic equations with measurable ``coefficients without convexity assumptions
• Another approach to the existence of value functions of stochastic differential games
• A Uniqueness Result for Viscosity Solutions of Second Order Fully Nonlinear Partial Differential Equations
• Viscosity solutions of elliptic partial differential equations
• Uniqueness and existence of maximal and minimal solutions of fully nonlinear elliptic PDE
• On the dynamic programming principle for uniformly nondegenerate stochastic differential games in domains and the Isaacs equations
• On the dynamic programming principle for uniformly nondegenerate stochastic differential games in domains
• On the rate of convergence of finite-difference approximations for elliptic Isaacs equations in smooth domains
• Title not available (Why is that?)
• On regularity properties and approximations of value functions for stochastic differential games in domains
• Value functions and the Dirichlet problem for Isaacs equation in a smooth domain

Cited In (4)

• On game-theoretic characterisation of stochastic independence
• Another approach to the existence of value functions of stochastic differential games
• Approximating the value functions for stochastic differential games with the ones having bounded second derivatives
• On the rate of convergence of finite-difference approximations for elliptic Isaacs equations in smooth domains

This page was built for publication: On the independence of the value function for stochastic differential games of the probability space

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q744245)