Year: 2011
Type: preprint
Abstract: We generalize the results of Fleming and Souganidis (1989) on zero sum stochastic differential games to the case when the controls are unbounded. We do this by proving a dynamic programming principle using a covering argument instead of relying on a discrete approximation (which is used along with a comparison principle by Fleming and Souganidis). Also, in contrast with Fleming and Souganidis, we define our pay-off through a doubly reflected backward stochastic differential equation. The value function (in the degenerate case of a single controller) is closely related to the second order doubly reflected BSDEs.
Source: arXiv (Cornell University)
Authors: Bayraktar, Erhan, Yao, Song
Institutions: University of Michigan, University of Pittsburgh
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
Funder: National Science Foundation
OpenAlex ID: W1520515799