Stochastic Differential Games Involving Impulse Controls ∗
نویسندگان
چکیده
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 Classification. 91A15, 49N25, 49L20. Received May 22, 2009. Revised August 5, 2009 and October 28, 2009. Published online April 23, 2010.
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