Variational Inequalities for Combined Control and Stopping Game

DOI10.1080/07362990600959455MaRDI QIDQ3423716zbMATH OpenOpenAlexFDO

Authors Khadija Akdim, Youssef Ouknine, Isabelle Turpin

Publication date 15 February 2007

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362990600959455

zbMATH Keywords

variational inequalityviscosity solutionstopping gamecombined control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Variational inequalities (49J40) Optimal stochastic control (93E20) Stochastic integral equations (60H20)

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Cites work

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• On a variational inequality associated with a stopping game combined with a control
• On the Optimal Impulse Control Problem for Degenerate Diffusions
• On the Optimal Stopping Time Problem for Degenerate Diffusions
• User’s guide to viscosity solutions of second order partial differential equations
• Utility Maximization with Discretionary Stopping
• Variational Inequalities for Combined Control and Stopping

Cited in

(12)

• Non-linear Dynkin games over split stopping times
• The Dynkin game with regime switching and applications to pricing game options
• Existence of value in stochastic differential games of mixed type
• scientific article; zbMATH DE number 4118295 (Why is no real title available?)
• On a variational inequality associated with a stopping game combined with a control
• Nested variational inequalities and related optimal starting–stopping problems
• Solving a class of zero-sum stopping game with regime switching
• Variational Inequalities for Combined Control and Stopping
• scientific article; zbMATH DE number 3853839 (Why is no real title available?)
• Existence and uniqueness of viscosity solutions for nonlinear variational inequalities associated with mixed control
• A probabilistic approach to second order variational inequalities with bilateral constraints
• Variational inequalities for leavable bounded-velocity control

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