Nonzero-sum stochastic differential game between controller and stopper for jump diffusions

DOI10.1155/2013/761306MaRDI QIDQ370194zbMATH OpenOpenAlexWikidataFDO

Authors Yan Wang, Aimin Song, Cheng-De Zheng, Enmin Feng

Publication date 19 September 2013

Published in Abstract and Applied Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2013/761306

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) 2-person games (91A05) Stochastic games, stochastic differential games (91A15)

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Cites work

• scientific article; zbMATH DE number 5856581 (Why is no real title available?)
• scientific article; zbMATH DE number 3992548 (Why is no real title available?)
• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• A controller and a stopper game with degenerate variance control
• An exact penalty method for free terminal time optimal control problem with continuous inequality constraints
• Applied stochastic control of jump diffusions
• BSDE approach to non-zero-sum stochastic differential games of control and stopping
• Differential games of mixed type with control and stopping times
• Existence of value in stochastic differential games of mixed type
• Martingale approach to stochastic differential games of control and stopping
• Mean-variance hedging and forward-backward stochastic differential filtering equations
• Mixed Zero-Sum Stochastic Differential Game and American Game Options
• On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
• Optimal control computation for nonlinear systems with state-dependent stopping criteria
• Optimal stopping and stochastic control differential games for jump diffusions
• Optimal stopping for dynamic convex risk measures
• Proving regularity of the minimal probability of ruin via a game of stopping and control
• Risk minimizing portfolios and HJBI equations for stochastic differential games
• Stochastic games of control stopping for a linear diffusion
• The controller-and-stopper game for a linear diffusion.

Cited in

(10)

• On the controller-stopper problems with controlled jumps
• Nonzero-sum stochastic differential games between an impulse controller and a stopper
• Stochastic differential games and inverse optimal control and stopper policies
• Stochastic maximum principle for partial information optimal control problem of forward-backward systems involving classical and impulse controls
• Stochastic nonzero-sum games: a new connection between singular control and optimal stopping
• Martingale approach to stochastic differential games of control and stopping
• Optimal stopping and stochastic control differential games for jump diffusions
• On the multidimensional controller-and-stopper games
• A zero-sum game between a singular stochastic controller and a discretionary stopper
• The controller-and-stopper game for a linear diffusion.

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