A Dynkin game under Knightian uncertainty
DOI10.3934/dcds.2015.35.5467zbMath1332.93378MaRDI QIDQ255509
Hyeng Keun Koo, Shanjian Tang, Zhou Yang
Publication date: 9 March 2016
Published in: Discrete and Continuous Dynamical Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/dcds.2015.35.5467
variational inequality; backward stochastic partial differential equation; Dynkin game; super-parabolicity
49L20: Dynamic programming in optimal control and differential games
93E20: Optimal stochastic control
34F05: Ordinary differential equations and systems with randomness
93E03: Stochastic systems in control theory (general)
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
35R60: PDEs with randomness, stochastic partial differential equations
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