The Existence of Game Value for Path-dependent Stochastic Differential Game

DOI10.1137/15M1015042zbMath1372.49035MaRDI QIDQ5348479

Fu Zhang

Publication date: 18 August 2017

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

zbMATH Keywords

Nash equilibriumstochastic differential gameBSDEgame valuepath-dependent

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Differential games and control (49N70) Stochastic games, stochastic differential games (91A15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (2)

Zero-sum path-dependent stochastic differential games in weak formulation ⋮ Stochastic differential games with random coefficients and stochastic Hamilton-Jacobi-Bellman-Isaacs equations

Cites Work

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