Existence of value in stochastic differential games of mixed type
DOI10.1080/07362994.2012.704853zbMATH Open1252.49062OpenAlexW2038941557MaRDI QIDQ4648516FDOQ4648516
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
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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)
Cites Work
- User’s guide to viscosity solutions of second order partial differential equations
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- Mixed Zero-Sum Stochastic Differential Game and American Game Options
- A probabilistic approach to second order variational inequalities with bilateral constraints
- Martingale approach to stochastic differential games of control and stopping
- Differential games of mixed type with control and stopping times
- On the value of optimal stopping games
- 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
- Title not available (Why is that?)
- Nonzero-sum stochastic differential game between controller and stopper for jump diffusions
- Differential games of mixed type with control and stopping times
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