Existence of Value in Stochastic Differential Games of Mixed Type

DOI10.1080/07362994.2012.704853zbMath1252.49062MaRDI QIDQ4648516

Mrinal K. Ghosh, K. S. Mallikarjuna Rao

Publication date: 9 November 2012

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

Full work available at URL: https://doi.org/10.1080/07362994.2012.704853

zbMATH Keywords

viscosity solution; stopping time; stochastic differential game; bilateral constraints; Hamilton-Jacobi-Isaacs variational inequalities

Mathematics Subject Classification ID

49J40: Variational inequalities

49N70: Differential games and control

93E20: Optimal stochastic control

60G40: Stopping times; optimal stopping problems; gambling theory

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

Related Items

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

Cites Work

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• Variational Inequalities for Combined Control and Stopping