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.


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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