On the independence of the value function for stochastic differential games of the probability space
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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)
Abstract: We show that the value function in a stochastic differential game does not change if we keep the same space 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.
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Cites work
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- On regularity properties and approximations of value functions for stochastic differential games in domains
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- The maximum principle for viscosity solutions of fully nonlinear second order partial differential equations
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Cited in
(4)- 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
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- Another approach to the existence of value functions of stochastic differential games
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