AbstractUnder smooth assumptions and notably the Isaacs's condition on the Hamiltonian, we prove the existence of a saddle-point for the “mixed” zero-sum stochastic differential game with payoffJ(u,τ;v,σ)=E(u,v)∫0τ∧σf(s,X,us,vs)ds+Lτ1[τ⩽σ,σ<T]+Uσ1[σ<τ]+ξ1[τ∧σ=T].The main tool is the notion of double barrier reflected backward SDEs
30 pages.In this paper we study zero-sum two-player stochastic differential games with jumps with th...
AbstractIn this paper we study the integral–partial differential equations of Isaacs’ type by zero-s...
AbstractIn this paper we study Backward Stochastic Differential Equations with two reflecting right ...
AbstractUnder smooth assumptions and notably the Isaacs's condition on the Hamiltonian, we prove the...
International audienceIn the present work, we consider 2-person zero-sum stochastic differential gam...
International audienceIn the present work, we consider 2-person zero-sum stochastic differential gam...
International audienceIn the present work, we consider 2-person zero-sum stochastic differential gam...
We study a class of reflected backward stochastic differential equations with nonpositive jumps and ...
This dissertation takes two approaches - martingale and backward stochastic differential equation (B...
International audienceIn the present work, we consider 2-person zero-sum stochastic differential gam...
AbstractWe deal with the risk-sensitive control, zero-sum and nonzero-sum game problems of stochasti...
The research that led to the present paper was partially supported by a grant of the group GNAMPA of...
30 pages.In this paper we study zero-sum two-player stochastic differential games with jumps with th...
30 pages.In this paper we study zero-sum two-player stochastic differential games with jumps with th...
30 pages.In this paper we study zero-sum two-player stochastic differential games with jumps with th...
30 pages.In this paper we study zero-sum two-player stochastic differential games with jumps with th...
AbstractIn this paper we study the integral–partial differential equations of Isaacs’ type by zero-s...
AbstractIn this paper we study Backward Stochastic Differential Equations with two reflecting right ...
AbstractUnder smooth assumptions and notably the Isaacs's condition on the Hamiltonian, we prove the...
International audienceIn the present work, we consider 2-person zero-sum stochastic differential gam...
International audienceIn the present work, we consider 2-person zero-sum stochastic differential gam...
International audienceIn the present work, we consider 2-person zero-sum stochastic differential gam...
We study a class of reflected backward stochastic differential equations with nonpositive jumps and ...
This dissertation takes two approaches - martingale and backward stochastic differential equation (B...
International audienceIn the present work, we consider 2-person zero-sum stochastic differential gam...
AbstractWe deal with the risk-sensitive control, zero-sum and nonzero-sum game problems of stochasti...
The research that led to the present paper was partially supported by a grant of the group GNAMPA of...
30 pages.In this paper we study zero-sum two-player stochastic differential games with jumps with th...
30 pages.In this paper we study zero-sum two-player stochastic differential games with jumps with th...
30 pages.In this paper we study zero-sum two-player stochastic differential games with jumps with th...
30 pages.In this paper we study zero-sum two-player stochastic differential games with jumps with th...
AbstractIn this paper we study the integral–partial differential equations of Isaacs’ type by zero-s...
AbstractIn this paper we study Backward Stochastic Differential Equations with two reflecting right ...
DOI
Add to ORKG