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• W2983173405 abstract "Abstract We consider a two-player zero-sum stochastic differential game with a random planning horizon and diffusive state variable dynamics. The random planning horizon is a function of a non-negative continuous random variable, which is assumed to be independent of the Brownian motion driving the state variable dynamics. We study this game using a combination of dynamic programming and viscosity solution techniques. Under some mild assumptions, we prove that the value of the game exists and is the unique viscosity solution of a certain nonlinear partial differential equation of Hamilton–Jacobi–Bellman–Isaacs type." @default.
• W2983173405 created "2019-11-22" @default.
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• W2983173405 date "2019-11-15" @default.
• W2983173405 modified "2023-10-16" @default.
• W2983173405 title "Two-player zero-sum stochastic differential games with random horizon" @default.
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• W2983173405 doi "https://doi.org/10.1017/apr.2019.47" @default.
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