Existence of value in stochastic differential games of mixed type

DOI10.1080/07362994.2012.704853MaRDI QIDQ4648516zbMATH OpenOpenAlexFDO

Authors 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

stopping timeviscosity solutionbilateral constraintsstochastic differential gameHamilton-Jacobi-Isaacs variational inequalities

Mathematics Subject Classification ID

Differential games and control (49N70) Variational inequalities (49J40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 3505982 (Why is no real title available?)
• scientific article; zbMATH DE number 3797647 (Why is no real title available?)
• A probabilistic approach to second order variational inequalities with bilateral constraints
• Differential games of mixed type with control and stopping times
• Martingale approach to stochastic differential games of control and stopping
• Mixed Zero-Sum Stochastic Differential Game and American Game Options
• On the value of optimal stopping games
• User’s guide to viscosity solutions of second order partial differential equations
• Variational Inequalities for Combined Control and Stopping
• Variational Inequalities for Combined Control and Stopping Game

Cited in

(5)

• Another approach to the existence of value functions of stochastic differential games
• On the independence of the value function for stochastic differential games of the probability space
• Nonzero-sum stochastic differential game between controller and stopper for jump diffusions
• scientific article; zbMATH DE number 3954782 (Why is no real title available?)
• Differential games of mixed type with control and stopping times

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