Stochastic Differential Games: A Sampling Approach via FBSDEs

Ioannis Exarchos (), Evangelos Theodorou () and Panagiotis Tsiotras ()
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Ioannis Exarchos: Georgia Institute of Technology
Evangelos Theodorou: Georgia Institute of Technology
Panagiotis Tsiotras: Georgia Institute of Technology

Dynamic Games and Applications, 2019, vol. 9, issue 2, No 8, 486-505

Abstract: Abstract The aim of this work is to present a sampling-based algorithm designed to solve various classes of stochastic differential games. The foundation of the proposed approach lies in the formulation of the game solution in terms of a decoupled pair of forward and backward stochastic differential equations (FBSDEs). In light of the nonlinear version of the Feynman–Kac lemma, probabilistic representations of solutions to the nonlinear Hamilton–Jacobi–Isaacs equations that arise for each class are obtained. These representations are in form of decoupled systems of FBSDEs, which may be solved numerically.

Keywords: Stochastic differential games; Forward and backward stochastic differential equations; Numerical methods; Iterative algorithms (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1007/s13235-018-0268-4

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