Stochastic differential switching game in infinite horizon

DOI10.1016/J.JMAA.2019.01.040zbMATH Open1416.49044arXiv1805.01223OpenAlexW2963087547MaRDI QIDQ2633673FDOQ2633673

Sehail Mazid, Brahim El Asri

Publication date: 10 May 2019

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

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.

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

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zbMATH Keywords

quasi-variational inequalitystochastic differential gamesviscosity solutionsswitching strategiesIsaacs inequalities

Mathematics Subject Classification ID

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

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Cited In (10)

• Zero-Sum Markov Games with Impulse Controls
• Stochastic impulse control problem with state and time dependent cost functions
• Stochastic optimal switching model for migrating population dynamics
• Dynamic decision of health information exchange under different hospital relationships: a differential game approach
• The value of a minimax problem involving impulse control
• Stochastic hybrid differential games and match race problems
• Differential games with switching strategies
• Solving finite time horizon Dynkin games by optimal switching
• Switching Games of Stochastic Differential Systems
• Guaranteeing cost strategies for infinite horizon difference games with uncertain dynamics

Uses Software

• Matlab

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