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  • We consider nonlinear elliptic Bellman systems which arise in the theory of stochastic differential games. The right-hand sides of the equations (which are called Hamiltonians) may have quadratic growth with respect to the gradient of the unknowns. Under certain assumptions on the Hamiltonians, that are satisfied for many types of stochastic games, we establish the existence of a regular solution. The main novelty of the paper consists of introducing a new (semi-continuity) method for obtaining the continuity of the solution and the corresponding estimates.
  • We consider nonlinear elliptic Bellman systems which arise in the theory of stochastic differential games. The right-hand sides of the equations (which are called Hamiltonians) may have quadratic growth with respect to the gradient of the unknowns. Under certain assumptions on the Hamiltonians, that are satisfied for many types of stochastic games, we establish the existence of a regular solution. The main novelty of the paper consists of introducing a new (semi-continuity) method for obtaining the continuity of the solution and the corresponding estimates. (en)
Title
  • ON NONLINEAR ELLIPTIC BELLMAN SYSTEMS FOR A CLASS OF STOCHASTIC DIFFERENTIAL GAMES IN ARBITRARY DIMENSION
  • ON NONLINEAR ELLIPTIC BELLMAN SYSTEMS FOR A CLASS OF STOCHASTIC DIFFERENTIAL GAMES IN ARBITRARY DIMENSION (en)
skos:prefLabel
  • ON NONLINEAR ELLIPTIC BELLMAN SYSTEMS FOR A CLASS OF STOCHASTIC DIFFERENTIAL GAMES IN ARBITRARY DIMENSION
  • ON NONLINEAR ELLIPTIC BELLMAN SYSTEMS FOR A CLASS OF STOCHASTIC DIFFERENTIAL GAMES IN ARBITRARY DIMENSION (en)
skos:notation
  • RIV/00216208:11320/11:10099158!RIV12-MSM-11320___
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  • P(LC06052)
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  • 1
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  • 218081
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  • RIV/00216208:11320/11:10099158
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  • regularity; stochastic differential games; Bellman equations; nonlinear systems (en)
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  • SG - Singapurská republika
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  • [703F14E864FE]
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  • Mathematical Models and Methods in Applied Sciences
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  • 21
http://linked.open...iv/tvurceVysledku
  • Bulíček, Miroslav
  • Frehse, Jens
http://linked.open...ain/vavai/riv/wos
  • 000287370100009
issn
  • 0218-2025
number of pages
http://bibframe.org/vocab/doi
  • 10.1142/S0218202511005027
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  • 11320
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