Zero-sum stochastic differential games without the Isaacs condition: random rules of priority and intermediate Hamiltonians
Monday, May 7, 2018 - 9:00am - 9:50am
For a zero-sum stochastic game which does not satisfy the Isaacs condition, we provide a value function representation for an Isaacs-type equation whose Hamiltonian lies in between the lower and upper Hamiltonians, as a convex combination of the two. For the general case (i.e. the convex combination is time and state dependent) our representation amounts to a random change of the rules of the game, to allow each player at any moment to see the other player's action or not, according to a coin toss with probabilities of heads and tails given by the convex combination appearing in the PDE. This is a joint work with Mihai Sirbu.
91A05, 91A15, 49L20, 49L25