Backward equations, stochastic control and zero-sum stochastic differential games
| Autor: | J. P. Lepeltier, Said Hamadène |
|---|---|
| Rok vydání: | 1995 |
| Předmět: |
Stochastic control
Continuous-time stochastic process Mathematical optimization MathematicsofComputing_NUMERICALANALYSIS Stochastic calculus Malliavin calculus Stochastic partial differential equation symbols.namesake Stochastic differential equation ComputingMethodologies_SYMBOLICANDALGEBRAICMANIPULATION Runge–Kutta method symbols Applied mathematics Stochastic optimization Mathematics |
| Zdroj: | Stochastics and Stochastic Reports. 54:221-231 |
| ISSN: | 1045-1129 |
| DOI: | 10.1080/17442509508834006 |
| Popis: | This paper is concerned with the applications to stochastic control and stochastic zero-sum differential games of some results on backward stochastic differential equations. Using these techniques we give a new approach of the existence of an optimal strategy for the stochastic control of diffusions; in a same way we prove the existence of a saddle-point for zero-sum stochastic differential games when the Isaacs' condition is satisfied |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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