Zero-sum stochastic differential games and backward equations
✍ Scribed by S. Hamadene; J.P. Lepeltier
- Publisher
- Elsevier Science
- Year
- 1995
- Tongue
- English
- Weight
- 249 KB
- Volume
- 24
- Category
- Article
- ISSN
- 0167-6911
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📜 SIMILAR VOLUMES
A singularly perturbed zero-sum differential game with full information is considered. Upper and lower value functions of this game are shown to have limits as the singular perturbations parameter tends to zero. These limits are established to coincide with viscosity solutions of some Hamilton᎐Jacob
We prove the existence of a solution for "one dimensional" backward stochastic differential equations where the coefficient is continuous, it has a linear growth, and the terminal condition is squared integrable. We also obtain the existence of a minimal solution.