Systems of Bellman Equations to Stochastic Differential Games with Discount Control

Bensoussan, Alain ; Frehse, Jens

Bollettino dell'Unione Matematica Italiana, Tome 1 (2008), p. 663-681 / Harvested from Biblioteca Digitale Italiana di Matematica

Résumé

We consider two dimensional diagonal elliptic systems $\Delta u + au = H(x, u, \nabla u)$ which arise from stochastic differential games with discount control. The Hamiltonians $H$ have quadratic growth in $\nabla u$ and a special structure which has notyet been covered by regularity theory. Without smallness condition on $H$, the existence of a regular solution is established.

Détail

Publié le : 2008-10-01

MR 2455338 | Zbl 1190.49045

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