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Nash equilibrium payoffs for stochastic differential games with reflection

Qian Lin (2013)

ESAIM: Control, Optimisation and Calculus of Variations

In this paper, we investigate Nash equilibrium payoffs for nonzero-sum stochastic differential games with reflection. We obtain an existence theorem and a characterization theorem of Nash equilibrium payoffs for nonzero-sum stochastic differential games with nonlinear cost functionals defined by doubly controlled reflected backward stochastic differential equations.

Non-Divergence From Operators and Variations on Yau's Explosion Criterion.

Daniel W. Stroock (1998)

The journal of Fourier analysis and applications [[Elektronische Ressource]]

Nonlinear filtering with an infinite dimensional signal process.

Boulanger, C., Schlitz, J. (1999)

Portugaliae Mathematica

Non-linear Neumann's condition for the heat equation : a probabilistic representation using catalytic super-brownian motion

Jean-François Delmas, Pascal Vogt (2005)

Annales de l'I.H.P. Probabilités et statistiques

Nonlinear state prediction by separation approach for continuous-discrete stochastic systems

Jaroslav Švácha, Miroslav Šimandl (2008)

Kybernetika

The paper deals with a filter design for nonlinear continuous stochastic systems with discrete-time measurements. The general recursive solution is given by the Fokker–Planck equation (FPE) and by the Bayesian rule. The stress is laid on the computation of the predictive conditional probability density function from the FPE. The solution of the FPE and its integration into the estimation algorithm is the cornerstone for the whole recursive computation. A new usable numerical scheme for the FPE is...