Stochastic Differential Games and Viscosity Solutions of Hamilton--Jacobi--Bellman--Isaacs Equations.

Rainer Buckdahn Juan Li

Published in: SIAM J. Control. Optim. (2008)

Keyphrases

hamilton jacobi bellman
stochastic control
optimal control
differential equations
nonlinear systems
control problems
hamilton jacobi
numerical solution
brownian motion
monte carlo
nash equilibria
fuzzy sets
linear programming
mathematical model