Probabilistic interpretation of a system of coupled Hamilton-Jacobi-Bellman-Isaacs equations

By introducing a stochastic differential game whose dynamics and multi-dimensional cost functionals form a multi-dimensional coupled forward-backward stochastic differential equation with jumps, we give a probabilistic interpretation to a system of coupled Hamilton-Jacobi-Bellman-Isaacs equations. F...

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Veröffentlicht in:	ESAIM. Control, optimisation and calculus of variations optimisation and calculus of variations, 2021, Vol.27, p.S17
Hauptverfasser:	Li, Juan, Li, Wenqiang, Wei, Qingmeng
Format:	Artikel
Sprache:	eng
Schlagworte:	Differential equations Differential games Dynamic programming Mathematical analysis Probability theory Random variables
Online-Zugang:	Volltext
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