Year: 2011
Type: article
Abstract: We consider a two player, zero sum stochastic differential game based on a formulation given by Fleming and Souganidis.The saddle point property is introduced, and it is proved that the unique uniformly continuous bounded viscosity solution of the upper Isaacs PDE with boundary condition satisfies such a property.Also, it is shown that approximately optimal Markov strategies can be constructed for both players.
DOI: 10.31390/cosa.5.2.06
Institutions: Mathematics Research Center, Brown University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W2808078535