A zero-sum stochastic differential game with impulses, precommitment, and unrestricted cost functions

DOI10.1007/s00245-017-9445-xzbMath1417.49051arXiv1609.09092OpenAlexW3100394297MaRDI QIDQ2422348

Parsiad Azimzadeh

Publication date: 19 June 2019

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1609.09092

zbMATH Keywords

quasi-variational inequalitiesviscosity solutionsimpulse controlzero-sum stochastic differential game

Mathematics Subject Classification ID

Variational inequalities (49J40) Dynamic programming in optimal control and differential games (49L20) Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (14)

Stochastic impulse control problem with state and time dependent cost functions ⋮ Convergence of Implicit Schemes for Hamilton--Jacobi--Bellman Quasi-Variational Inequalities ⋮ Nonzero-Sum Stochastic Games and Mean-Field Games with Impulse Controls ⋮ Zero-sum stochastic differential game in finite horizon involving impulse controls ⋮ A zero-sum deterministic impulse controls game in infinite horizon with a new HJBI-QVI ⋮ Non-Markovian impulse control under nonlinear expectation ⋮ Continuous and impulse controls differential game in finite horizon with Nash-equilibrium and application ⋮ Zero-sum stochastic differential games of impulse versus continuous control by FBSDEs ⋮ Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications ⋮ Nonzero-sum stochastic differential games between an impulse controller and a stopper ⋮ A fixed-point policy-iteration-type algorithm for symmetric nonzero-sum stochastic impulse control games ⋮ Nash equilibria in nonzero-sum differential games with impulse control ⋮ Error Estimates of Penalty Schemes for Quasi-Variational Inequalities Arising from Impulse Control Problems ⋮ Zero-Sum Markov Games with Impulse Controls

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