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On the value of stochastic differential games
2 references·4 citing·21 second hop
On the value of stochastic differential games (2011)On the value of stochastic differential g…Stochastic Differential Games and Viscosity Solutions of Hamilton-Jacobi-Bellman-Isaacs Equations (2007)Stochastic Differential Games…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Zero-sum path-dependent stochastic differential games in weak formulation (2020)Zero-sum path-dependent stoch…Zero-sum risk-sensitive stochastic games (2016)Zero-sum risk-sensitive stoch…Zero-sum risk-sensitive stochastic games on a countable state space (2013)Zero-sum risk-sensitive stoch…Linear-Quadratic Stochastic Differential Games with General Noise Processes (2013)Linear-Quadratic Stochastic D…Stochastic Controls (1999)Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations (2008)The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems (1970)Risk-Sensitive Control on an Infinite Time Horizon (1995)BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations (2003)Minimax Theorems (1953)Minimax Theorems (1997)Markov Decision Processes with Applications to Finance (2011)Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets (1996)Backward Stochastic Differential Equations in Finance (1997)Adapted solution of a backward stochastic differential equation (1990)Backward stochastic differential equations and integral-partial differential equations (1997)Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications (2011)Two Person Zero-Sum Game in Weak Formulation and Path Dependent Bellman--Isaacs Equation (2014)Leader–follower stochastic differential game with asymmetric information and applications (2015)
this work references cited by second hop

References

  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 2007Stochastic Differential Games and Viscosity Solutions of Hamilton-Jacobi-Bellman-Isaacs Equations166 cited

Cited by

  • 2016Zero-sum risk-sensitive stochastic games47 cited
  • 2013Zero-sum risk-sensitive stochastic games on a countable state space36 cited
  • 2020Zero-sum path-dependent stochastic differential games in weak formulation29 cited
  • 2013Linear-Quadratic Stochastic Differential Games with General Noise Processes26 cited

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