We show that the value function in a stochastic differential game does not change if we keep the same space $(\Omega,\cF)$ but introduce probability measures by means of Girsanov's transformation {\em depending\/} on the policies of the players. We also show that the value function does not change if we allow the driving Wiener processes to depe...
Creator:
Krylov, Nicolai (University of Minnesota, Twin Cities)
Created:
2018-05-10
Contributed By:
University of Minnesota, Institute for Mathematics and its Applications.