9 citations · 24 across the 10 of their papers we have counts for
Showing 2012Show all
2 papers · 1 filter
math.PR2012
A Weak Dynamic Programming Principle for Zero-Sum Stochastic Differential Games with Unbounded Controls
Erhan Bayraktar, Song Yao
We analyze a zero-sum stochastic differential game between two competing players who can choose unbounded controls. The payoffs of the game are defined through backward stochastic…
math.OC2012★ 7 cited
On Zero-Sum Stochastic Differential Games
Erhan Bayraktar, Song Yao
We generalize the results of Fleming and Souganidis (1989) on zero sum stochastic differential games to the case when the controls are unbounded. We do this by proving a dynamic pr…