Stochastic differential switching game in infinite horizon
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Publication:2633673
Abstract: We study a zero-sum stochastic differential switching game in infinite horizon. We prove the existence of the value of the game and characterize it as the unique viscosity solution of the associated system of quasi-variational inequalities with bilateral obstacles. We also obtain a verification theorem which provides an optimal strategy of the game. Finally, some numerical examples with two regimes are given.
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- The value of a minimax problem involving impulse control
- Stochastic hybrid differential games and match race problems
- Dynamic decision of health information exchange under different hospital relationships: a differential game approach
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