论文信息 - On the value of stochastic differential games

On the value of stochastic differential games

We consider a two player, zero sum stochastic differential game based on a formulation given by Fleming and Souganidis. The saddle point property is introduced, and it is proved that the unique uniformly continuous bounded viscosity solution of the upper Isaacs PDE with boundary condition satisfies such a property. Also, it is shown that approximately optimal Markov strategies can be constructed for both players.

W. Fleming | D. Hernández-Hernández

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