Switching Games of Stochastic Differential Systems

DOI10.1137/050642204zbMath1293.91022MaRDI QIDQ3506530

Shui-Hung Hou, Shanjian Tang

Publication date: 16 June 2008

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10397/6106

zbMATH Keywords

viscosity solution; value function; stochastic differential games; dynamic programming inequalities; switching strategies

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

49N70: Differential games and control

91A05: 2-person games

91A23: Differential games (aspects of game theory)

90C39: Dynamic programming

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

91A15: Stochastic games, stochastic differential games

49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games

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