Representation formulas for solutions of Isaacs integro-PDE

Shigeaki Koike, Andrzej Świȩch

研究成果: Article査読

9 被引用数 (Scopus)

抄録

We prove sub-and super-optimality inequalities of dynamic programming for viscosity solutions of Isaacs integro-PDE associated with two-player, zero-sum stochastic differential game driven by a Lévy-type noise. This implies that the lower and upper value functions of the game satisfy the dynamic programming principle and that they are the unique viscosity solutions of the lower and upper Isaacs integro-PDE. We show how to regularize viscosity sub-and super-solutions of Isaacs equations to smooth sub-and supersolutions of slightly perturbed equations.

本文言語English
ページ(範囲)1473-1502
ページ数30
ジャーナルIndiana University Mathematics Journal
62
5
DOI
出版ステータスPublished - 2013

ASJC Scopus subject areas

  • 数学 (全般)

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