Zero-sum stochastic differential game in finite horizon involving impulse controls

DOI10.1007/S00245-018-9529-2MaRDI QIDQ2187339zbMATH OpenOpenAlexWikidataFDO

Authors Brahim El Asri, Sehail Mazid

Publication date 2 June 2020

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

Full work available at URL https://arxiv.org/abs/1706.08880

zbMATH Keywords

impulse controlquasi-variational inequalitystochastic differential gameviscosity solution

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Differential games and control (49N70) 2-person games (91A05) Stochastic games, stochastic differential games (91A15) Impulsive control/observation systems (93C27)

Abstract: This paper considers the problem of two-player zero-sum stochastic differential game with both players adopting impulse controls in finite horizon under rather weak assumptions on the cost functions ($c$ and $chi$ not decreasing in time). We use the dynamic programming principle and viscosity solutions approach to show existence and uniqueness of a solution for the Hamilton-Jacobi-Bellman-Isaacs (HJBI) partial differential equation (PDE) of the game. We prove that the upper and lower value functions coincide.

Review text

This paper deals with zero-sum stochastic differential game in the finite time horizon and without monotonicity of the cost functions. It is assumed that both players apply impulse controls. The objective is to give a characterization of the value function as the only solution in the viscosity sense of the associated Hamilton-Jacobi-Bellman-Isaacs (HJBI) partial differential equation. To obtain the result the authors prove the weak dynamic programming principle. Then, making use of this principle they get the continuity of the lower and upper value functions. Finally, they show the connection between the zero-sum stochastic differential game and the HJBI equation.

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Cited in

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• Regression Monte Carlo for impulse control
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