Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1155651 | Stochastic Processes and their Applications | 2013 | 26 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
N.V. Krylov,