Numerical approximation of Dynkin games with asymmetric information
DOI10.1137/23m1621216MaRDI QIDQ6663107
Tsiry Avisoa Randrianasolo, Ľubomír Baňas, Giorgio Ferrari
Publication date: 14 January 2025
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
viscosity solutionoptimal stoppingasymmetric informationzero-sum gamesHamilton-Jacobi-Bellmann equationdiscrete convex envelopeprobabilistic numerical approximationGroupSort neural networks
Artificial neural networks and deep learning (68T07) Probabilistic models, generic numerical methods in probability and statistics (65C20) Differential games and control (49N70) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stopping times; optimal stopping problems; gambling theory (60G40) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Numerical methods for variational inequalities and related problems (65K15)
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