Probabilistic interpretation for systems of Isaacs equations with two reflecting barriers
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dynamic programming principleIsaacs equations with obstaclesreflected backward stochastic differential equationsstochastic differential gamesvalue functionviscosity solutionzero-sum games
Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Differential games and control (49N70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming (90C39) Stochastic games, stochastic differential games (91A15) Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20)
Abstract: In this paper we investigate zero-sum two-player stochastic differential games whose cost functionals are given by doubly controlled reflected backward stochastic differential equations (RBSDEs) with two barriers. For admissible controls which can depend on the whole past and so include, in particular, information occurring before the beginning of the game, the games are interpreted as games of the type "admissible strategy" against "admissible control", and the associated lower and upper value functions are studied. A priori random, they are shown to be deterministic, and it is proved that they are the unique viscosity solutions of the associated upper and the lower Bellman-Isaacs equations with two barriers, respectively. For the proofs we make full use of the penalization method for RBSDEs with one barrier and RBSDEs with two barriers. For this end we also prove new estimates for RBSDEs with two barriers, which are sharper than those in [18]. Furthermore, we show that the viscosity solution of the Isaacs equation with two reflecting barriers not only can be approximated by the viscosity solutions of penalized Isaacs equations with one barrier, but also directly by the viscosity solutions of penalized Isaacs equations without barrier.
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Cited in
(17)- Numerical scheme for Dynkin games under model uncertainty
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- Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games
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- Doubly reflected BSDEs with integrable parameters and related Dynkin games
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