Nonzero-Sum Stochastic Differential Games With Stopping Times and Free Boundary Problems

DOI10.2307/1997905zbMath0368.93029OpenAlexW4244448291MaRDI QIDQ4145231

Avner Friedman, Alain Bensoussan

Publication date: 1977

Full work available at URL: https://doi.org/10.2307/1997905

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear initial, boundary and initial-boundary value problems for linear parabolic equations (35K60) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Elliptic equations and elliptic systems (35J99) Parabolic equations and parabolic systems (35K99) Probabilistic games; gambling (91A60) Hamilton-Jacobi theories (49L99)

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