scholarly journals Differential games for stochastic partial differential equations

1993 ◽  
Vol 131 ◽  
pp. 75-107 ◽  
Author(s):  
W.H. Fleming ◽  
M. Nisio
Keyword(s):  
Hilbert Space ◽  
Dynamic Programming ◽  
Partial Differential Equations ◽  
Differential Equations ◽  
Differential Games ◽  
Stochastic Partial Differential Equations ◽  
Value Function ◽  
Partial Differential ◽  
Zero Sum ◽  
The Relationship

In this paper we are concerned with zero-sum two-player finite horizon games for stochastic partial differential equations (SPDE in short). The main aim is to formulate the principle of dynamic programming for the upper (or lower) value function and investigate the relationship between upper (or lower) value function and viscocity solution of min-max (or max-min) equation on Hilbert space.

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