Stochastic zero-sum differential games and backward stochastic differential equations-Reference-Cited by-同舟云学术

Stochastic zero-sum differential games and backward stochastic differential equations

Published:2023-01-30 Issue:1 Volume:31 Page:65-86
ISSN:0926-6364
Container-title:Random Operators and Stochastic Equations
language:en
Short-container-title:

Author:

Oufdil Khalid¹

Affiliation:

1. LISAD, ENSA , National School of Applied Sciences, Ibn Zohr University , Tamsoult Avenue , Agadir , Morocco

Abstract

Abstract In this paper, we study the stochastic zero-sum differential game in finite horizon in a general case. We first prove that the BSDE associated with a specific generator (the Hamiltonian function for the game) has a unique solution. Then we characterize the value function as that solution to prove the existence of a saddle point for the game. Finally, in the Markovian framework, we show that the value function is the unique viscosity solution for the related partial differential equation.

Publisher

Walter de Gruyter GmbH

Subject

Statistics and Probability,Analysis

Link

https://www.degruyter.com/document/doi/10.1515/rose-2022-2097/pdf

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