On martingale problems with continuous-time mixing and values of zero-sum games without the Isaacs condition. (English) Zbl 1307.91020
The paper complements the results by R. Buckdahn et al. [Ann. Probab. 42, No. 4, 1724–1768 (2014; Zbl 1296.49034)] on zero-sum stochastic differential games without the Isaacs condition. The author considers such games posed over generalized feedback strategies, and proves that the state equation admits a unique Stroock-Varadhan solution. This point of view provides more insight into continuous-time games with randomization.
Reviewer: George Stoica (Saint John)
MSC:
| 91A15 | Stochastic games, stochastic differential games |
| 91A05 | 2-person games |
| 91A23 | Differential games (aspects of game theory) |
| 49N70 | Differential games and control |
| 60G46 | Martingales and classical analysis |
| 60H10 | Stochastic ordinary differential equations (aspects of stochastic analysis) |
