Diagonal elliptic Bellman systems to stochastic differential games with discount control and noncompact coupling

Diagonal elliptic Bellman systems to stochastic differential games with discount control and noncompact coupling

We consider Bellman systems to stochastic differential games with quadratic cost functionals and a discount factor which may be influenced by the players. This leads to a diagonal elliptic system − Δu = H(x, u, ∇u) subject to boundary conditions where the Hamiltonian grows quadratically in grad u...

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Bibliographic Details
Main Authors: Alain Bensoussan, Jens Frehse
Format: Article
Language:English
Published: Sapienza Università Editrice 2009-01-01
Series:Rendiconti di Matematica e delle Sue Applicazioni
Subjects:
non-linear partial differential equations
diagonal systems
bellman equation
hamiltonian
stochastic differential games
discount control
Online Access:https://www1.mat.uniroma1.it/ricerca/rendiconti/ARCHIVIO/2009(1)/1-16.pdf

Internet

https://www1.mat.uniroma1.it/ricerca/rendiconti/ARCHIVIO/2009(1)/1-16.pdf

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