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math.PR2017
Stochastic differential games with state constraints and Isaacs equations with nonlinear Neumann problems
Lishun Xiao, Dejian Tian
We investigate a two-player zero-sum stochastic differential game problem with the state process being constrained in a connected bounded closed domain, and the cost functional des…
math.PR2017
Probabilistic interpretation of HJB equations by the representation theorem for generators of BSDEs
Lishun Xiao, Shengjun Fan, Dejian Tian
The purpose of this note is to propose a new approach for the probabilistic interpretation of Hamilton-Jacobi-Bellman equations associated with stochastic recursive optimal control…