Stochastic differential games involving impulse controls
DOI10.1051/COCV/2010023zbMATH Open1223.93121OpenAlexW1996616837MaRDI QIDQ3170570FDOQ3170570
Authors: 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
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quasi-variational inequalitystochastic differential gamesviscosity solutionimpulse controlverification theoremElliott-Kalton value
Differential games (aspects of game theory) (91A23) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stochastic games, stochastic differential games (91A15) Dynamic games (91A25) Optimal stochastic control (93E20)
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Cited In (21)
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- Nash equilibria in nonzero-sum differential games with impulse control
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- Title not available (Why is that?)
- One kind of linear-quadratic zero-sum stochastic differential game with jumps
- Stochastic maximum principle for partial information optimal control problem of forward-backward systems involving classical and impulse controls
- Zero-sum stochastic differential game in finite horizon involving impulse controls
- ON THE SINGULARITIES OF AN IMPULSIVE DIFFERENTIAL GAME ARISING IN MATHEMATICAL FINANCE
- Stochastic optimal control to a nonlinear differential game
- Differential games with continuous, switching and impulse controls
- Connections between stochastic control and dynamic games
- A zero-sum stochastic differential game with impulses, precommitment, and unrestricted cost functions
- A zero-sum deterministic impulse controls game in infinite horizon with a new HJBI-QVI
- Non-Markovian impulse control under nonlinear expectation
- A BSDE approach to stochastic differential games involving impulse controls and HJBI equation
- A game problem with asymptotic impulse control
- Continuous and impulse controls differential game in finite horizon with Nash-equilibrium and application
- Martingale approach to stochastic differential games of control and stopping
- Zero-sum stochastic differential games of impulse versus continuous control by FBSDEs
- Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications
- Infinite dimensional differential games with hybrid controls
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