Probabilistic interpretation for systems of Isaacs equations with two reflecting barriers

DOI10.1007/S00030-009-0022-0zbMATH Open1169.93026arXiv0804.0311OpenAlexW2963113471MaRDI QIDQ839520FDOQ839520

Juan Li, Rainer Buckdahn

Publication date: 2 September 2009

Published in: NoDEA. Nonlinear Differential Equations and Applications (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/0804.0311

zbMATH Keywords

stochastic differential gamesvalue functionviscosity solutionzero-sum gamesdynamic programming principlereflected backward stochastic differential equationsIsaacs equations with obstacles

Mathematics Subject Classification ID

Dynamic programming (90C39) Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stochastic games, stochastic differential games (91A15) Optimal stochastic control (93E20)

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Cited In (12)

• Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games
• American options in a non-linear incomplete market model with default
• Probabilistic interpretation of a system of coupled Hamilton-Jacobi-Bellman-Isaacs equations
• Some recent aspects of differential game theory
• Stochastic differential games with reflection and related obstacle problems for Isaacs equations
• Doubly reflected BSDEs with integrable parameters and related Dynkin games
• Numerical scheme for Dynkin games under model uncertainty
• Stochastic representation for solutions of Isaacs' type integral-partial differential equations
• Proving regularity of the minimal probability of ruin via a game of stopping and control
• Nonlinear BSDEs with two optional Doob's class barriers satisfying weak Mokobodzki's condition and extended Dynkin games
• A kind of stochastic recursive Zero-Sum differential game problem with double obstacles constraint
• Nash Equilibrium Payoffs for Stochastic Differential Games with two Reflecting Barriers

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