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Dynamic programming principle for stochastic recursive optimal control problem with delayed systems

Li Chen, Zhen Wu (2012)

ESAIM: Control, Optimisation and Calculus of Variations

In this paper, we study one kind of stochastic recursive optimal control problem for the systems described by stochastic differential equations with delay (SDDE). In our framework, not only the dynamics of the systems but also the recursive utility depend on the past path segment of the state process in a general form. We give the dynamic programming principle for this kind of optimal control problems and show that the value function is the viscosity solution of the corresponding infinite dimensional...

Dynamic Programming Principle for tug-of-war games with noise

Juan J. Manfredi, Mikko Parviainen, Julio D. Rossi (2012)

ESAIM: Control, Optimisation and Calculus of Variations

We consider a two-player zero-sum-game in a bounded open domain Ω described as follows: at a point x ∈ Ω, Players I and II play an ε-step tug-of-war game with probability α, and with probability β (α + β = 1), a random point in the ball of radius ε centered at x is chosen. Once the game position reaches the boundary, Player II pays Player I the amount given by a fixed payoff function F. We give a detailed proof of the fact that...

Dynamic Programming Principle for tug-of-war games with noise

Juan J. Manfredi, Mikko Parviainen, Julio D. Rossi (2012)

ESAIM: Control, Optimisation and Calculus of Variations

We consider a two-player zero-sum-game in a bounded open domain Ω described as follows: at a point x ∈ Ω, Players I and II play an ε-step tug-of-war game with probability α, and with probability β (α + β = 1), a random point in the ball of radius ε centered at x is chosen. Once the game position reaches the boundary, Player II pays Player I the amount given by a fixed payoff function F. We give a detailed proof of the fact that the value functions of this game satisfy the Dynamic Programming Principle...

Dynamic Programming Principle for tug-of-war games with noise

Juan J. Manfredi, Mikko Parviainen, Julio D. Rossi (2012)

ESAIM: Control, Optimisation and Calculus of Variations

We consider a two-player zero-sum-game in a bounded open domain Ω described as follows: at a point x ∈ Ω, Players I and II play an ε-step tug-of-war game with probability α, and with probability β (α + β = 1), a random point in the ball of radius ε centered at x is chosen. Once the game position reaches the boundary, Player II pays Player I the amount given by a fixed payoff function F. We give a detailed proof of the fact that...

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