Zero-sum path-dependent stochastic differential games in weak formulation
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Publication:2657913
DOI10.1214/19-AAP1533zbMath1462.35410arXiv1808.03756MaRDI QIDQ2657913
Dylan Possamaï, Jianfeng Zhang, Nizar Touzi
Publication date: 18 March 2021
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1808.03756
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Feedback control (93B52) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic games, stochastic differential games (91A15) Weak solutions to PDEs (35D30) Second-order parabolic equations (35K10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Viscosity solutions to PDEs (35D40)
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