Stochastic differential games involving impulse controls
نویسندگان
چکیده
منابع مشابه
Stochastic Differential Games Involving Impulse Controls ∗
A zero-sum stochastic differential game problem on infinite horizon with continuous and impulse controls is studied. We obtain the existence of the value of the game and characterize it as the unique viscosity solution of the associated system of quasi-variational inequalities. We also obtain a verification theorem which provides an optimal strategy of the game. Mathematics Subject Classificati...
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ژورنال
عنوان ژورنال: ESAIM: Control, Optimisation and Calculus of Variations
سال: 2010
ISSN: 1292-8119,1262-3377
DOI: 10.1051/cocv/2010023