Differential games for stochastic partial differential equations
Copyright policy )Differential games for stochastic partial differential equations
In this paper we are concerned with zero-sum two-player finite horizon games for stochastic partial differential equations (SPDE in short). The main aim is to formulate the principle of dynamic programming for the upper (or lower) value function and investigate the relationship between upper (or lower) value function and viscocity solution of min-max (or max-min) equation on Hilbert space.
- Kobe University Japan
- Brown University United States
- Osaka Electro-Communication University Japan
Probabilistic games; gambling, zero-sum two players finite horizon games, Stochastic partial differential equations (aspects of stochastic analysis), stochastic partial differential equations, 49L25, principle of dynamic programming, 93E05, uniqueness problem, 90D25
Probabilistic games; gambling, zero-sum two players finite horizon games, Stochastic partial differential equations (aspects of stochastic analysis), stochastic partial differential equations, 49L25, principle of dynamic programming, 93E05, uniqueness problem, 90D25
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