A zero-sum stochastic differential game with impulses, precommitment, and unrestricted cost functions
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Publication:2422348
DOI10.1007/s00245-017-9445-xzbMath1417.49051arXiv1609.09092OpenAlexW3100394297MaRDI QIDQ2422348
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
quasi-variational inequalitiesviscosity solutionsimpulse controlzero-sum stochastic differential game
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)
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