Related papers: Stochastic Perron's method and elementary strategi…

We extend the stochastic Perron method to analyze the framework of stochastic target games, in which one player tries to find a strategy such that the state process almost surely reaches a given target no matter which action is chosen by…

We adapt the Stochastic Perron's method in Bayraktar and Sirbu (ArXiv: 1103.0538) to the case of double obstacle problems associated to Dynkin games. We construct, symmetrically, a viscosity sub-solution which dominates the upper value of…

We consider a zero-sum stochastic differential game over elementary mixed feed-back strategies. These are strategies based only on the knowledge of the past state, randomized continuously in time from a sampling distribution which is kept…

We introduce a probabilistic version of the classical Perron's method to construct viscosity solutions to linear parabolic equations associated to stochastic differential equations. Using this method, we construct easily two viscosity (sub…

In this paper we first investigate zero-sum two-player stochastic differential games with reflection with the help of theory of Reflected Backward Stochastic Differential Equations (RBSDEs). We will establish the dynamic programming…

In this paper, we study a class of zero-sum two-player stochastic differential games with the controlled stochastic differential equations and the payoff/cost functionals of recursive type. As opposed to the pioneering work by Fleming and…

In this paper we study zero-sum two-player stochastic differential games with the help of theory of Backward Stochastic Differential Equations (BSDEs). At the one hand we generalize the results of the pioneer work of Fleming and Souganidis…

We analyze a zero-sum stochastic differential game between two competing players who can choose unbounded controls. The payoffs of the game are defined through backward stochastic differential equations. We prove that each player's priority…

We consider zero-sum stochastic differential games with possibly path-dependent controlled state. Unlike the previous literature, we allow for weak solutions of the state equation so that the players' controls are automatically of feedback…

We consider a stochastic differential game in the context of forward-backward stochastic differential equations, where one player implements an impulse control while the opponent controls the system continuously. Utilizing the notion of…

In this paper we study a two person zero sum stochastic differential game in weak formulation. Unlike standard literature which uses strategy type of controls, the weak formulation allows us to consider the game with control against…

In the present work, we consider 2-person zero-sum stochastic differential games with a nonlinear pay-off functional which is defined through a backward stochastic differential equation. Our main objective is to study for such a game the…

In this paper we study zero-sum two-player stochastic differential games with jumps with the help of theory of Backward Stochastic Differential Equations (BSDEs). We generalize the results of Fleming and Souganidis [10] and those by Biswas…

We investigate a two-player zero-sum differential game with asymmetric information on the payoff and without Isaacs condition. The dynamics is an ordinary differential equation parametrised by two controls chosen by the players. Each player…

We introduce a modification of Perron's method, where semi-solutions are considered in a carefully defined asymptotic sense. With this definition, we can show, in a rather elementary way, that in a zero-sum game or a control problem (with…

We consider a robust switching control problem. The controller only observes the evolution of the state process, and thus uses feedback (closed-loop) switching strategies, a non standard class of switching controls introduced in this paper.…

This paper focuses on zero-sum stochastic differential games in the framework of forward-backward stochastic differential equations on a finite time horizon with both players adopting impulse controls. By means of BSDE methods, in…

In this paper we investigate two-player zero-sum stochastic differential games with an ergodic payoff, in which the diffusion coefficient does not need to be non-degenerate. We first establish the existence of a viscosity solution to the…

In this paper we investigate zero-sum two-player stochastic differential games whose cost functionals are given by doubly controlled reflected backward stochastic differential equations (RBSDEs) with two barriers. For admissible controls…

Nonzero-sum stochastic differential games with impulse controls offer a realistic and far-reaching modelling framework for applications within finance, energy markets, and other areas, but the difficulty in solving such problems has…