Stochastic representation for solutions of a system of coupled HJB-Isaacs equations with integral-differential operators

DOI10.1016/j.spa.2024.104502MaRDI QIDQ6658921

Xun Li, Sheng Luo, Wenqiang Li, Qingmeng Wei

Publication date: 8 January 2025

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

backward stochastic differential equationstochastic differential gamesHamilton-Jacobi-Bellman-Isaacs equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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