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Stochastic differential games: Occupation measure based approach

✍ Scribed by V. S. Borkar; M. K. Ghosh


Publisher
Springer
Year
1996
Tongue
English
Weight
80 KB
Volume
88
Category
Article
ISSN
0022-3239

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The existence of value functions for general two-player, zero-sum stochastic differential games has been obtained by Fleming and Souganidis. In this paper we present a new approach to this problem. We prove optimality inequalities of dynamic programming for viscosity sub-and supersolutions of the as