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

DOI10.1007/S00245-018-9529-2zbMATH Open1454.91020arXiv1706.08880OpenAlexW3105644870WikidataQ129246885 ScholiaQ129246885MaRDI QIDQ2187339FDOQ2187339

Authors: Brahim El Asri, Sehail Mazid 

Publication date: 2 June 2020

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

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.

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

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zbMATH Keywords

quasi-variational inequalityviscosity solutionimpulse controlstochastic differential game

Mathematics Subject Classification ID

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

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Cited In (24)

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• Regression Monte Carlo for impulse control
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• Two-player zero-sum stochastic differential games with random horizon
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• Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications
• A fixed-point policy-iteration-type algorithm for symmetric nonzero-sum stochastic impulse control games
• A weak dynamic programming principle for zero-sum stochastic differential games with unbounded controls
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• On zero-sum stochastic differential games with jump-diffusion driven state: a viscosity solution framework
• Zero-sum Markov games with impulse controls
• ON THE SINGULARITIES OF AN IMPULSIVE DIFFERENTIAL GAME ARISING IN MATHEMATICAL FINANCE
• Stochastic differential games involving impulse controls and double-obstacle quasi-variational inequalities
• The value of a minimax problem involving impulse control
• A zero-sum stochastic differential game with impulses, precommitment, and unrestricted cost functions
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• A BSDE approach to stochastic differential games involving impulse controls and HJBI equation
• Continuous and impulse controls differential game in finite horizon with Nash-equilibrium and application
• Error estimates for stochastic differential games: the adverse stopping case
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