Existence of Value in Stochastic Differential Games of Mixed Type
From MaRDI portal
Publication:4648516
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
viscosity solution; stopping time; stochastic differential game; bilateral constraints; Hamilton-Jacobi-Isaacs variational inequalities
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
Cites Work
- Unnamed Item
- Unnamed Item
- On the value of optimal stopping games
- Martingale approach to stochastic differential games of control and stopping
- Differential games of mixed type with control and stopping times
- A probabilistic approach to second order variational inequalities with bilateral constraints
- Variational Inequalities for Combined Control and Stopping Game
- Mixed Zero-Sum Stochastic Differential Game and American Game Options
- User’s guide to viscosity solutions of second order partial differential equations
- Variational Inequalities for Combined Control and Stopping