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
β¦ LIBER β¦
The Existence of Value in Stochastic Differential Games
β Scribed by Elliott, Robert
- Book ID
- 118207794
- Publisher
- Society for Industrial and Applied Mathematics
- Year
- 1976
- Tongue
- English
- Weight
- 682 KB
- Volume
- 14
- Category
- Article
- ISSN
- 0363-0129
- DOI
- 10.1137/0314006
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