A representation theorem approach to probabilistic interpretation for viscosity solutions of Isaacs equations
DOI10.1016/j.jmaa.2022.126610zbMath1498.60243OpenAlexW4293066054WikidataQ115188828 ScholiaQ115188828MaRDI QIDQ2079550
Lishun Xiao, Sheng-Jun Fan, De-Jian Tian
Publication date: 30 September 2022
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2022.126610
viscosity solutionbackward stochastic differential equationstochastic differential gameIsaacs equationNeumann boundary problem
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games and control (49N70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Integro-partial differential equations (35R09)
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