State and Control Path-Dependent Stochastic Zero-Sum Differential Games: Viscosity Solutions of Path-Dependent Hamilton–Jacobi–Isaacs Equations
In this paper, we consider the two-player state and control path-dependent stochastic zero-sum differential game. In our problem setup, the state process, which is controlled by the players, is dependent on (current and past) paths of state and control processes of the players. Furthermore, the runn...
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| Format: | Article |
| Language: | English |
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MDPI AG
2022-05-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/10/10/1766 |