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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Cited in
(14)- Dynamic decision of health information exchange under different hospital relationships: a differential game approach
- Stochastic impulse control problem with state and time dependent cost functions
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- The value of a minimax problem involving impulse control
- Differential games with switching strategies
- Guaranteeing cost strategies for infinite horizon difference games with uncertain dynamics
- Two-player zero-sum stochastic differential games with regime switching
- Switching Games of Stochastic Differential Systems
- Zero-sum Markov games with impulse controls
- Stochastic differential games with controlled regime-switching
- A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time
- Solving finite time horizon Dynkin games by optimal switching
- Two-player zero-sum stochastic differential games with random horizon
- Stochastic hybrid differential games and match race problems
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