On the dynamic programming principle for uniformly nondegenerate stochastic differential games in domains

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:123

Article

Krylov, N. V.

关键词: Dynamic programming principle;    Stochastic games;    Isaacs equation;   

DOI  :  10.1016/j.spa.2013.03.004

来源: Elsevier

【 摘 要 】

We prove the dynamic programming principle for uniformly nondegenerate stochastic differential games in the framework of time-homogeneous diffusion processes considered up to the first exit time from a domain. The zeroth-order coefficient and the free term are only assumed to be measurable. In contrast with previous results established for constant stopping times we allow arbitrary stopping times and randomized ones as well. The main assumption, which will be removed in a subsequent article, is that there exists a sufficiently regular solution of the Isaacs equation. (C) 2013 Elsevier B.V. All rights reserved.

【 授权许可】

Free