Stochastic differential games with competing Brownian particles and related Isaacs' equations

DOI10.1002/OCA.2356zbMath1393.93141OpenAlexW2750778772MaRDI QIDQ3176440

Xinwei Feng

Publication date: 20 July 2018

Published in: Optimal Control Applications and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/oca.2356

zbMATH Keywords

partial differential equationsstochastic differential gamesdynamic programming principlecompeting Brownian particlesgeneralized backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games and control (49N70) Dynamic programming (90C39) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15)

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