On Zero-Sum Stochastic Differential Games with Jump-Diffusion Driven State: A Viscosity Solution Framework

DOI10.1137/080720504zbMath1253.91027arXiv1009.4949OpenAlexW2017375008MaRDI QIDQ3143239

Imran H. Biswas

Publication date: 29 November 2012

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

Full work available at URL: https://arxiv.org/abs/1009.4949

zbMATH Keywords

dynamic programmingLévy processesintegro-partial differential equationviscosity solutionsstochastic differential games

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Differential games (aspects of game theory) (91A23) Integro-partial differential equations (45K05) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Functional analysis in probabilistic metric linear spaces (46S50)

Related Items (10)

Perron's method for nonlocal fully nonlinear equations ⋮ Integro-PDE in Hilbert spaces: existence of viscosity solutions ⋮ Two-player zero-sum stochastic differential games with regime switching ⋮ Continuous viscosity solutions for nonlocal Dirichlet problems with coercive gradient terms ⋮ On the Rate of Convergence for Monotone Numerical Schemes for Nonlocal Isaacs Equations ⋮ Two-player zero-sum stochastic differential games with random horizon ⋮ Nash equilibrium payoffs for stochastic differential games with jumps and coupled nonlinear cost functionals ⋮ Stochastic representations for solutions to parabolic Dirichlet problems for nonlocal Bellman equations ⋮ Relationship between maximum principle and dynamic programming for stochastic differential games of jump diffusions ⋮ On the differentiability of the solutions of non-local Isaacs equations involving \(\frac{1}{2}\)-Laplacian

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