Probabilistic interpretation of a system of coupled Hamilton-Jacobi-Bellman-Isaacs equations
DOI10.1051/cocv/2020070zbMath1467.91009OpenAlexW3094471906MaRDI QIDQ4999594
Juan Li, Qingmeng Wei, Wenqiang Li
Publication date: 7 July 2021
Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1051/cocv/2020070
stochastic differential gamesHJBI equationscoupled FBSDEs with jumpsstrong dynamic programming principle
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games and control (49N70) Stochastic games, stochastic differential games (91A15) Hamilton-Jacobi equations in optimal control and differential games (49L12)
Cites Work
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