A Weak Dynamic Programming Principle for Zero-Sum Stochastic Differential Games with Unbounded Controls

arxiv: 1210.2788 · v2 · pith:ZODLUKPJnew · submitted 2012-10-10 · 🧮 math.PR · math.AP· math.OC

A Weak Dynamic Programming Principle for Zero-Sum Stochastic Differential Games with Unbounded Controls

Erhan Bayraktar , Song Yao This is my paper

classification 🧮 math.PR math.APmath.OC

keywords differentialstochasticcontrolsdynamicgameprincipleprogrammingunbounded

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We analyze a zero-sum stochastic differential game between two competing players who can choose unbounded controls. The payoffs of the game are defined through backward stochastic differential equations. We prove that each player's priority value satisfies a weak dynamic programming principle and thus solves the associated fully non-linear partial differential equation in the viscosity sense.

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A Weak Dynamic Programming Principle for Zero-Sum Stochastic Differential Games with Unbounded Controls

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