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The Existence of Value in Stochastic Differential Games

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References

1960On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures722 cited
1971Existence of Optimal Stochastic Control Laws246 cited
1973Dynamic Programming Conditions for Partially Observable Stochastic Systems225 cited
1970Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems164 cited
1971On the Solutions of a Stochastic Control System98 cited

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2017Non-zero-sum stochastic differential reinsurance and investment games with default risk102 cited
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2010A stochastic differential reinsurance game72 cited
2005Martingale methods in stochastic control60 cited
2015Mean Field Stackelberg Games: Aggregation of Delayed Instructions59 cited
2010Optimal non-proportional reinsurance control and stochastic differential games58 cited
2010A stochastic differential game for optimal investment of an insurer with regime switching49 cited
1981Optimal Play in a Stochastic Differential Game47 cited
2018Risk-Sensitive Zero-Sum Differential Games43 cited

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2014

Existence of Nash Equilibrium Points for Markovian Nonzero-sum Stochastic Differential Games with Unbounded Coefficients

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2016A class of nonzero-sum investment and reinsurance games subject to systematic risks38 cited

2008A game theoretic approach to option valuation under Markovian regime-switching models35 cited