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math.PR2015
Stochastic differential equations of second order with a small parameter
Mikhail Kamenskii, Marc Quincampoix, Serguei Pergamenchtchikov
We consider boundary value problems for stochastic differential equations of second order with a small parameter. For this case we prove a special existence and unicity theorem for…
math.PR2014★ 26 cited
Value in mixed strategies for zero-sum stochastic differential games without Isaacs condition
Rainer Buckdahn, Juan Li, Marc Quincampoix
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 equ…