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.
Applied Mathematics and Optimization – Springer Journals
Published: Jun 1, 2005
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