Stochastic differential switching game in infinite horizon

DOI10.1016/j.jmaa.2019.01.040zbMath1416.49044arXiv1805.01223OpenAlexW2963087547MaRDI QIDQ2633673

Sehail Mazid, Brahim El Asri

Publication date: 10 May 2019

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1805.01223

zbMATH Keywords

viscosity solutionsstochastic differential gamesquasi-variational inequalityswitching strategiesIsaacs inequalities

Mathematics Subject Classification ID

Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (6)

Stochastic impulse control problem with state and time dependent cost functions ⋮ Dynamic decision of health information exchange under different hospital relationships: a differential game approach ⋮ Stochastic optimal switching model for migrating population dynamics ⋮ The value of a minimax problem involving impulse control ⋮ Stochastic hybrid differential games and match race problems ⋮ Zero-Sum Markov Games with Impulse Controls

Uses Software

• Matlab

Cites Work

• Zero-sum stochastic differential games and backward equations
• Continuous-time stochastic control and optimization with financial applications
• On the equality of solutions of max-min and min-max systems of variational inequalities with interconnected bilateral obstacles
• Switching Games of Stochastic Differential Systems
• Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
• User’s guide to viscosity solutions of second order partial differential equations
• Explicit Solution to an Optimal Switching Problem in the Two‐Regime Case
• The existence of value in differential games
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