A strategy-based proof of the existence of the value in zero-sum\n differential games

2013/01/27 by Juan Pablo Maldonado López, López, Juan Pablo Maldonado, Miquel Oliu‐Barton +1
Computer Science · Economics, Econometrics and Finance · Engineering · #Optimization and Variational Analysis #Stochastic processes and financial applications #Stability and Controllability of Differential Equations

paper · pdf · doi:10.48550/arxiv.1301.6409

Abstract

The value of a zero-sum differential games is known to exist, under Isaacs'\ncondition, as the unique viscosity solution of a Hamilton-Jacobi-Bellman\nequation. In this note we provide a self-contained proof based on the\nconstruction of ep-optimal strategies, which is inspired by the "extremal\naiming" method from Krasovskii and Subbotin.\n

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