Stochastic differential switching game in infinite horizon
The authors discuss properties of zero-sum stochastic differential games with switching costs. It is proved that the lower and upper value functions in these games satisfy the Isaacs system of quasi-variational inequalities in viscosity solution sense (see e.g. [\textit{R. J. Elliott} and \textit{N. J. Kalton}, The existence of value in differential games. Providence, RI: American Mathematical Society (AMS) (1972; Zbl 0262.90076)]). Moreover, the authors demonstrate uniqueness of these solutions and since the lower and upper value functions coincide the game admits a value. The relevant strategies of the players are found and a numerical example is solved using MATLAB simulations.
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