The Hamilton-Jacobi-Bellman equation for a class of differential games with random duration

MaRDI QIDQ3404342zbMATH OpenFDO

Authors Ekaterina Shevkoplyas

Publication date 8 February 2010

zbMATH Keywords

differential gamesHamilton-Jacobi-Bellman equationrandom durationnon-renewable resource extraction

Mathematics Subject Classification ID

Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

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(11)

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• Differential Game Model of Resource Extraction with Continuous and Dynamic Updating
• Optimal dividends for regulated insurers with a nonlinear penalty
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