Stochastic differential games: a sampling approach via FBSDEs
From MaRDI portal
Publication:2280204
DOI10.1007/s13235-018-0268-4zbMath1429.91035OpenAlexW2808115243WikidataQ129702460 ScholiaQ129702460MaRDI QIDQ2280204
Ioannis Exarchos, Panagiotis Tsiotras, Evangelos A. Theodorou
Publication date: 18 December 2019
Published in: Dynamic Games and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13235-018-0268-4
numerical methodsiterative algorithmsstochastic differential gamesforward and backward stochastic differential equations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic games, stochastic differential games (91A15)
Related Items (3)
Newton's method, Bellman recursion and differential dynamic programming for unconstrained nonlinear dynamic games ⋮ A kind of linear‐quadratic Pareto cooperative differential game with partial information ⋮ Stochastic evolutionary game analysis between special committees and CEO: incentive and supervision
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Numerical simulation of quadratic BSDEs
- Some solvable stochastic differential games in \(\mathrm{SU}(3)\)
- On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
- A probabilistic numerical method for fully nonlinear parabolic PDEs
- Stochastic differential games. Theory and applications
- Zero-sum stochastic differential games and backward equations
- Stochastic optimal control via forward and backward stochastic differential equations and importance sampling
- Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
- Error expansion for the discretization of backward stochastic differential equations
- Forward-backward stochastic differential equations and their applications
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Galerkin approximations of the generalized Hamilton-Jacobi-Bellman equation
- A numerical scheme for BSDEs
- A distribution-free theory of nonparametric regression
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- A forward scheme for backward SDEs
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- Controlled Markov processes and viscosity solutions
- On stochastic differential games: sufficient conditions that a given strategy be a saddle point, and numerical procedures for the solution of the game
- Numerical methods for forward-backward stochastic differential equations
- Maximum Hands-Off Control: A Paradigm of Control Effort Minimization
- Uniqueness Results for Second-Order Bellman--Isaacs Equations under Quadratic Growth Assumptions and Applications
- A Curse-of-Dimensionality-Free Numerical Method for Solution of Certain HJB PDEs
- Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
- On Numerical Approximations of Forward-Backward Stochastic Differential Equations
- Minimum fuel spacecraft reorientation
- Backward Stochastic Differential Equations in Finance
- Existence for BSDE with superlinear–quadratic coefficient
- Numerical Approximations for Stochastic Differential Games
- Numerical Solutions for Stochastic Differential Games With Regime Switching
- Backward Stochastic Differential Equations
- Nonlinear Optimal Control via Occupation Measures and LMI-Relaxations
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Numerical Algorithms for Forward-Backward Stochastic Differential Equations
- Stochastic differential equations. An introduction with applications.
This page was built for publication: Stochastic differential games: a sampling approach via FBSDEs
