89 citations · 145 across the 17 of their papers we have counts for
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Asymptotic Perron's method and simple Markov Strategies in stochastic games and control
Mihai Sîrbu
We introduce a modification of Perron's method, where semi-solutions are considered in a carefully defined asymptotic sense. With this definition, we can show, in a rather elementa…
A note on the strong formulation of stochastic control problems with model uncertainty
Mihai Sîrbu
We consider a Markovian stochastic control problem with model uncertainty. The controller (intelligent player) observes only the state, and, therefore, uses feed-back (closed-loop)…
On martingale problems with continuous-time mixing and values of zero-sum games without Isaacs condition
Mihai Sîrbu
We consider a zero-sum stochastic differential game over elementary mixed feed-back strategies. These are strategies based only on the knowledge of the past state, randomized conti…
Stochastic Perron's method and elementary strategies for zero-sum differential games
Mihai Sîrbu
We develop here the Stochastic Perron Method in the framework of two-player zero-sum differential games. We consider the formulation of the game where both players play, symmetrica…
Stochastic Perron's method and verification without smoothness using viscosity comparison: obstacle problems and Dynkin games
Erhan Bayraktar, Mihai Sirbu
We adapt the Stochastic Perron's method in Bayraktar and Sirbu (ArXiv: 1103.0538) to the case of double obstacle problems associated to Dynkin games. We construct, symmetrically, a…