Zero-sum stochastic differential games of generalized McKean-Vlasov type

DOI10.1016/j.matpur.2018.12.005zbMath1423.49039arXiv1803.07329OpenAlexW2963663636WikidataQ128768022 ScholiaQ128768022MaRDI QIDQ2274021

Huyên Pham, Andrea Cosso

Publication date: 19 September 2019

Published in: Journal de Mathématiques Pures et Appliquées. Neuvième Série (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.07329

zbMATH Keywords

dynamic programmingmaster equationviscosity solutionszero-sum differential gameMcKean-Vlasov stochastic differential equation

Mathematics Subject Classification ID

Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Stochastic games, stochastic differential games (91A15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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