کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1155651 | 958754 | 2013 | 26 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On the dynamic programming principle for uniformly nondegenerate stochastic differential games in domains
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: On the dynamic programming principle for uniformly nondegenerate stochastic differential games in domains On the dynamic programming principle for uniformly nondegenerate stochastic differential games in domains](/preview/png/1155651.png)
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 123, Issue 8, August 2013, Pages 3273–3298
Journal: Stochastic Processes and their Applications - Volume 123, Issue 8, August 2013, Pages 3273–3298
نویسندگان
N.V. Krylov,