Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
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Publication:3614801
DOI10.1137/060671954zbMath1157.93040arXivmath/0702131OpenAlexW3121250812MaRDI QIDQ3614801
Publication date: 10 March 2009
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0702131
viscosity solutionbackward stochastic differential equationsvalue functionstochastic differential gamesdynamic programming principle
Dynamic programming in optimal control and differential games (49L20) Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Dynamic programming (90C39) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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