A Weak Dynamic Programming Principle for Zero-Sum Stochastic Differential Games with Unbounded Controls

We analyze a zero-sum stochastic differential game between two competing players who can choose unbounded controls. The payoffs of the game are defined through backward stochastic differential equations. We prove that each player's priority value satisfies a weak dynamic programming principle and thus solves the associated fully non-linear partial differential equation in the viscosity sense

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Year of publication:	2016
Authors:	Bayraktar, Erhan
Other Persons:	Yao, Song (contributor)
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Dynamische Optimierung \| Dynamic programming \| Spieltheorie \| Game theory \| Stochastisches Spiel \| Stochastic game

Extent:	1 Online-Ressource (42 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: SIAM Journal on Control and Optimization, 51 (3), 2036-2080, 2013 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 13, 2013 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013006729