Title :
Relationship between MP and DPP for stochastic differential games with g-expectation
Author_Institution :
School of Mathematics, Shandong University, Jinan 250100, P.R. China
Abstract :
This paper is concerned with the relationship between maximum principle (MP) and dynamic programming principle (DPP) for zero-sum stochastic differential games with g-expectation. Under certain differentiability conditions, relations among the adjoint processes, the generalized Hamiltonian function and the value function are given.
Keywords :
Differential equations; Dynamic programming; Game theory; Games; Generators; Optimal control; Stochastic processes; Stochastic differential games; backward stochastic differential equation; dynamic programming; g-expectation; maximum principle; stochastic optimal control;
Conference_Titel :
Control Conference (CCC), 2015 34th Chinese
Conference_Location :
Hangzhou, China
DOI :
10.1109/ChiCC.2015.7259882
