Nonzero-sum stochastic differential game between controller and stopper for jump diffusions (Q370194): Difference between revisions
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Revision as of 01:13, 20 March 2024
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English | Nonzero-sum stochastic differential game between controller and stopper for jump diffusions |
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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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