Probabilistic interpretation for systems of Isaacs equations with two reflecting barriers

In this paper we investigate zero-sum two-player stochastic differential games whose cost functionals are given by doubly controlled reflected backward stochastic differential equations (RBSDEs) with two barriers. For admissible controls which can depend on the whole past and so include, in particular, information occurring before the beginning of the game, the games are interpreted as games of the type “admissible strategy” against “admissible control”, and the associated lower and upper value functions are studied. A priori random, they are shown to be deterministic, and it is proved that they are the unique viscosity solutions of the associated upper and the lower Bellman–Isaacs equations with two barriers, respectively. For the proofs we make full use of the penalization method for RBSDEs with one barrier and RBSDEs with two barriers. For this end we also prove new estimates for RBSDEs with two barriers, which are sharper than those in Hamadène, Hassani (Probab Theory Relat Fields 132:237–264, 2005). Furthermore, we show that the viscosity solution of the Isaacs equation with two reflecting barriers not only can be approximated by the viscosity solutions of penalized Isaacs equations with one barrier, but also directly by the viscosity solutions of penalized Isaacs equations without barrier. Partially supported by the NSF of P.R.China (No. 10701050; 10671112), Shandong Province (No. Q2007A04), and National Basic Research Program of China (973 Program) (No. 2007CB814904).     

Differential Games of inf-sup Type and Isaacs Equations

Motivated by the work of Fleming, we provide a general framework to associate inf-sup type values with the Isaacs equations. We show that upper and lower bounds for the generators of inf-sup type are upper and lower Hamiltonians, respectively. In particular, the lower (resp. upper) bound corresponds to the progressive (resp. strictly progressive) strategy. By the Dynamic Programming Principle and identification of the generator, we can prove that the inf-sup type game is characterized as the unique viscosity solution of the Isaacs equation. We also discuss the Isaacs equation with a Hamiltonian of a convex combination between the lower and upper Hamiltonians.     

Super-Brauer characters and super-regular classes

Persi Diaconis and I. M. Isaacs generalized the character theory to super-character theories for an arbitrary finite group (Diaconis and Isaacs, in Trans Am Math Soc 360(5):2359–2392, 2008). In these theories, the irreducible characters are replaced by certain so-called supercharacters, and the conjugacy classes of the group are replaced by superclasses. Also, Diaconis and Isaacs discussed supercharacter theories and gave some properties of them. We consider in this note certain sums of irreducible Brauer characters and compatible unions of regular conjugacy classes in an arbitrary finite group and we give a generalization of the Brauer character theory to super-Brauer character theories. We also discuss super-Brauer character theories and obtain some results which are similar to those of Diaconis and Isaacs.     

Super-Brauer characters and super-regular classes

Persi Diaconis and I. M. Isaacs generalized the character theory to super-character theories for an arbitrary finite group (Diaconis and Isaacs, in Trans Am Math Soc 360(5):2359–2392, 2008). In these theories, the irreducible characters are replaced by certain so-called supercharacters, and the conjugacy classes of the group are replaced by superclasses. Also, Diaconis and Isaacs discussed supercharacter theories and gave some properties of them. We consider in this note certain sums of irreducible Brauer characters and compatible unions of regular conjugacy classes in an arbitrary finite group and we give a generalization of the Brauer character theory to super-Brauer character theories. We also discuss super-Brauer character theories and obtain some results which are similar to those of Diaconis and Isaacs.     

On the dynamic programming principle for uniformly nondegenerate stochastic differential games in domains and the Isaacs equations

We prove the dynamic programming principle for uniformly nondegenerate stochastic differential games in the framework of time-homogeneous diffusion processes considered up to the first exit time from a domain. In contrast with previous results established for constant stopping times we allow arbitrary stopping times and randomized ones as well. There is no assumption about solvability of the the Isaacs equation in any sense (classical or viscosity). The zeroth-order “coefficient” and the “free” term are only assumed to be measurable in the space variable. We also prove that value functions are uniquely determined by the functions defining the corresponding Isaacs equations and thus stochastic games with the same Isaacs equation have the same value functions.     

The Genesis of Differential Games in Light of Isaacs’ Contributions

Rufus P. Isaacs joined the RAND Corporation⁴, Santa Monica, California in 1948 and started to develop the theory of dynamic games in the early 1950s. Until winter 1954/55, when Isaacs left the RAND Corporation, he investigated two player, zero-sum dynamic games of the classic pursuit-evasion type. Prior to 1965, Isaacs published his theory only in internal RAND papers and research memoranda. In his first RAND paper (Ref. 1), Isaacs sketched the basic ideas of zero-sum dynamic game theory. The ideas already included rudimentary precursors of the maximum principle, dynamic programming, and backward analysis. At the end of 1954 and the beginning of 1955, Isaacs summarized his research in four research memoranda (Refs. 3--6), which ten years later formed the basis of his famous book on Differential Games (Ref. 7). This paper surveys Isaacs research with an emphasis on the early years of dynamic games. The readers are kindly invited to discuss the authors point of view. Comments and statements sent to the author will be summarized and published later.This paper is dedicated to the memory of Professor Rufus Philip Isaacs on the occasion of the 50th birthday of differential game theory. Isaacs, the acknowledged father of differential game theory (today called mainly theory of dynamic games),finished his first working paper at the RAND Corporation on November 17, 1951 (Ref.1). The author thanks Isaacs widow Rose B. Isaacs of Towson, Maryland, Leonard D. Berkovitz (Purdue University), Wendell H. Fleming (Brown University), George Leitmann (University of California, Berkeley), Valerii S. Patsko (Urals Branch of the Russian Academy of Sciences, Ekaterinburg), Leon A. Petrosyan (St. Petersburg University), and Varvara L. Turova (Center of Advanced European Studies and Research, Bonn) for very helpful information. Special thanks go to Katja Steinborn of Klein-K\{o}ris/Berlin for the careful translation of Russian sources. RAND is the acronym for Research and New Development. A common joke is that it stands for Research and {\it No} Development; see Ref.2. Today, the RAND Corporation considers itself as a nonprofit institution that helps improve policy and decisionmaking through research and analysis; see www.rand.org. Communicated by L. D. Berkovitz     

Regularity theory for the Isaacs equation through approximation methods

In this paper, we propose an approximation method to study the regularity of solutions to the Isaacs equation. This class of problems plays a paramount role in the regularity theory for fully nonlinear elliptic equations. First, it is a model-problem of a non-convex operator. In addition, the usual mechanisms to access regularity of solutions fall short in addressing these equations. We approximate an Isaacs equation by a Bellman one, and make assumptions on the latter to recover information for the former. Our techniques produce results in Sobolev and Hölder spaces; we also examine a few consequences of our main findings.     

M_(π-)群的一个注记

设π是一个素数集合Isaacs建立了特征标π-理论,推广了Brauer模特征标理论.基于Isaacs的工作,定义了M_π-群,推广了M_p-群的概念,证明了若G是一个有限π-幂零群,则G是M-群当且仅当G是M-群.     

The game problem on the dolichobrachistochrone : PMM vol.40, n 6, 1976, pp. 1003–1013

The capture and evasion sets, the players' optimal strategies and the game value determined for the game problem on the dolichobrachistochrone, analysed within the framework of a position formalism similar to [1]. Singularities inherent in the game of the minimax-maximin time to contact [1, 2] become apparent; they are determined in the given problem by the specific behavior of the optimal paths close to the target set. Isaacs [4] examined the game problem on the dolichobrachistochrone, being the game analog of the classical variational problem on the brachistochrone [3]. However, as was shown in [5], the solution proposed by Isaacs contains erroneous statements.     

Value function of differential games without Isaacs conditions. An approach with nonanticipative mixed strategies

In the present paper we investigate the problem of the existence of a value for differential games without Isaacs condition. For this we introduce a suitable concept of mixed strategies along a partition of the time interval, which are associated with classical nonanticipative strategies (with delay). Imposing on the underlying controls for both players a conditional independence property, we obtain the existence of the value in mixed strategies as the limit of the lower as well as of the upper value functions along a sequence of partitions which mesh tends to zero. Moreover, we characterize this value in mixed strategies as the unique viscosity solution of the corresponding Hamilton–Jacobi–Isaacs equation.     

Morita equivalence of Isaacs correspondence for blocks of finite groups

We show that a p-block of a finite group and its Isaacs correspondent are Morita equivalent. Received: 22 August 2001     

Character free proofs for two solvability theorems due to Isaacs

We give character-free proofs of two solvability theorems due to Isaacs.     

Error estimates for stochastic differential games: the adverse stopping case

^** Email: frederic.bonnans{at}inria.fr^*** Email: stefania.maroso{at}inria.fr^**** Email: zidani{at}ensta.fr We obtain error bounds for monotone approximation schemes ofa particular Isaacs equation. This is an extension of the theoryfor estimating errors for the Hamilton–Jacobi–Bellmanequation. To obtain the upper error bound, we consider the ‘Krylovregularization’ of the Isaacs equation to build an approximatesub-solution of the scheme. To get the lower error bound, weextend the method of Barles & Jakobsen (2005, SIAM J. Numer.Anal.) which consists in introducing a switching system whosesolutions are local super-solutions of the Isaacs equation.     

Deterministic Minimax Impulse Control

We prove the uniqueness of the viscosity solution of an Isaacs quasi-variational inequality arising in an impulse control minimax problem, motivated by an application in mathematical finance.     

Hamilton Jacobi Isaacs equations for differential games with asymmetric information on probabilistic initial condition

We investigate Hamilton Jacobi Isaacs equations associated to a two-players zero-sum differential game with incomplete information. The first player has complete information on the initial state of the game while the second player has only information of a – possibly uncountable – probabilistic nature: he knows a probability measure on the initial state. Such differential games with finite type incomplete information can be viewed as a generalization of the famous Aumann–Maschler theory for repeated games. The main goal and novelty of the present work consists in obtaining and investigating a Hamilton Jacobi Isaacs Equation satisfied by the upper and the lower values of the game. Since we obtain a uniqueness result for such Hamilton Jacobi equation, as a byproduct, this gives an alternative proof of the existence of a value of the differential game (which has been already obtained in the literature by different technics). Since the Hamilton Jacobi equation is naturally stated in the space of probability measures, we use the Wasserstein distance and some tools of optimal transport theory.     

On the Isaacs equation of differential games of fixed duration

The conditions under which the value function of fixed-duration differential games satisfies the Isaacs equation are relaxed.The author thanks Professor L. D. Berkovitz for posing the problem.     

On the Rate of Convergence of Finite-Difference Approximations for Elliptic Isaacs Equations in Smooth Domains

We show that there exists an algebraic rate of convergence of solutions of finite-difference approximations for uniformly elliptic Isaacs equations in smooth bounded domains.     

Octonions and Singular Solutions of Hessian Elliptic Equations

Algebra of Octonions is used to construct singular viscosity solutions of fully nonlinear Hessian elliptic equations. These equations are written in the form of an Isaacs equation.     

Some refinements of Dade's projective conjecture

In this paper a further refinement of Dade's projective conjecture, due to Boltje, is presented. This new statement includes ideas first published by Isaacs and Navarro as well as the recent contractibility version of Alperin's conjecture introduced by Boltje. Leaning heavily on the work of Robinson, weaker forms of the conjecture are proved in the case of p-solvable groups.