DocumentCode :
3631025
Title :
The existence of value functions of stochastic differential games for unbounded stochastic evolution
Author :
A. Swiech
Author_Institution :
Sch. of Math., Georgia Inst. of Technol., Atlanta, GA, USA
Volume :
3
fYear :
1995
Firstpage :
2289
Abstract :
Considers a two-player, zero-sum stochastic differential game with unbounded dynamics in an infinite dimensional Hilbert space. The authors prove that the upper and lower value functions of the game are viscosity solutions of the upper and lower value Bellman-Isaacs equations respectively and that they satisfy the dynamic programming principle. It then follows that the differential game has value if the Isaacs condition holds.
Keywords :
"Stochastic processes","Hilbert space","Equations","Dynamic programming","Space technology","Viscosity","Extraterrestrial measurements","Mathematics","Time measurement","Bismuth"
Publisher :
ieee
Conference_Titel :
Decision and Control, 1995., Proceedings of the 34th IEEE Conference on
ISSN :
0191-2216
Print_ISBN :
0-7803-2685-7
Type :
conf
DOI :
10.1109/CDC.1995.480544
Filename :
480544
Link To Document :
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