Stochastic differential games involving impulse controls

DOI10.1051/cocv/2010023zbMath1223.93121OpenAlexW1996616837MaRDI QIDQ3170570

Feng Zhang

Publication date: 27 September 2011

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/221926

zbMATH Keywords

viscosity solutionimpulse controlverification theoremstochastic differential gamesquasi-variational inequalityElliott-Kalton value

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Dynamic games (91A25) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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