Nonzero-sum stochastic differential game between controller and stopper for jump diffusions (Q370194): Difference between revisions
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Summary: We consider a nonzero-sum stochastic differential game which involves two players, a controller and a stopper. The controller chooses a control process, and the stopper selects the stopping rule which halts the game. This game is studied in a jump diffusions setting within Markov control limit. By a dynamic programming approach, we give a verification theorem in terms of variational inequality-Hamilton-Jacobi-Bellman (VIHJB) equations for the solutions of the game. Furthermore, we apply the verification theorem to characterize Nash equilibrium of the game in a specific example. | |||
| Property / review text: Summary: We consider a nonzero-sum stochastic differential game which involves two players, a controller and a stopper. The controller chooses a control process, and the stopper selects the stopping rule which halts the game. This game is studied in a jump diffusions setting within Markov control limit. By a dynamic programming approach, we give a verification theorem in terms of variational inequality-Hamilton-Jacobi-Bellman (VIHJB) equations for the solutions of the game. Furthermore, we apply the verification theorem to characterize Nash equilibrium of the game in a specific example. / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91A15 / rank | |||
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| Property / Mathematics Subject Classification ID: 91A05 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91A23 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6209434 / rank | |||
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Revision as of 13:37, 28 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Nonzero-sum stochastic differential game between controller and stopper for jump diffusions |
scientific article |
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Nonzero-sum stochastic differential game between controller and stopper for jump diffusions (English)
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19 September 2013
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Summary: We consider a nonzero-sum stochastic differential game which involves two players, a controller and a stopper. The controller chooses a control process, and the stopper selects the stopping rule which halts the game. This game is studied in a jump diffusions setting within Markov control limit. By a dynamic programming approach, we give a verification theorem in terms of variational inequality-Hamilton-Jacobi-Bellman (VIHJB) equations for the solutions of the game. Furthermore, we apply the verification theorem to characterize Nash equilibrium of the game in a specific example.
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