A Weak Dynamic Programming Principle for Zero-Sum Stochastic Differential Games with Unbounded Controls

DOI10.1137/120897638zbMath1272.49082arXiv1210.2788OpenAlexW3123934717MaRDI QIDQ2848575

Erhan Bayraktar, Song Yao

Publication date: 26 September 2013

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.2788

zbMATH Keywords

backward stochastic differential equationsviscosity solutionsfully nonlinear PDEsweak dynamic programming principlezero-sum stochastic differential gamesElliott-Kalton strategies

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Probabilistic games; gambling (91A60)

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