Variational Inequalities for Combined Control and Stopping Game
From MaRDI portal
Publication:3423716
DOI10.1080/07362990600959455zbMath1119.60041MaRDI QIDQ3423716
Khadija Akdim, Isabelle Turpin, Youssef Ouknine
Publication date: 15 February 2007
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362990600959455
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
49J40: Variational inequalities
93E20: Optimal stochastic control
60H20: Stochastic integral equations
Related Items
Existence of Value in Stochastic Differential Games of Mixed Type, Non-linear Dynkin games over split stopping times, The Dynkin game with regime switching and applications to pricing game options
Cites Work
- On a variational inequality associated with a stopping game combined with a control
- On the Optimal Stopping Time Problem for Degenerate Diffusions
- On the Optimal Impulse Control Problem for Degenerate Diffusions
- User’s guide to viscosity solutions of second order partial differential equations
- Variational Inequalities for Combined Control and Stopping
- Utility Maximization with Discretionary Stopping
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item