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The existence of value functions of stochastic differential games for unbounded stochastic evolution

机译:无穷随机演化的随机微分博弈的价值函数的存在

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Considers a two-player, zero-sum stochastic differential game with unbounded dynamics in an infinite dimensional Hilbert space. The authors prove that the upper and lower value functions of the game are viscosity solutions of the upper and lower value Bellman-Isaacs equations respectively and that they satisfy the dynamic programming principle. It then follows that the differential game has value if the Isaacs condition holds.
机译:考虑在无限维希尔伯特空间中具有无限动力学的两人,零和随机微分游戏。作者证明游戏的上,下值函数分别是上,下值Bellman-Isaacs方程的粘性解,并且满足动态规划原理。因此,如果以撒条件成立,那么差分博弈就具有价值。

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