• DocumentCode
    2245033
  • Title

    Relationship between MP and DPP for stochastic differential games with g-expectation

  • Author

    Jingtao, Shi

  • Author_Institution
    School of Mathematics, Shandong University, Jinan 250100, P.R. China
  • fYear
    2015
  • fDate
    28-30 July 2015
  • Firstpage
    1644
  • Lastpage
    1649
  • Abstract
    This paper is concerned with the relationship between maximum principle (MP) and dynamic programming principle (DPP) for zero-sum stochastic differential games with g-expectation. Under certain differentiability conditions, relations among the adjoint processes, the generalized Hamiltonian function and the value function are given.
  • Keywords
    Differential equations; Dynamic programming; Game theory; Games; Generators; Optimal control; Stochastic processes; Stochastic differential games; backward stochastic differential equation; dynamic programming; g-expectation; maximum principle; stochastic optimal control;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Control Conference (CCC), 2015 34th Chinese
  • Conference_Location
    Hangzhou, China
  • Type

    conf

  • DOI
    10.1109/ChiCC.2015.7259882
  • Filename
    7259882
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2245033