Stochastic nonzero-sum games: a new connection between singular control and optimal stopping
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Publication:5215005
DOI10.1017/apr.2018.17zbMath1443.91037arXiv1601.05709OpenAlexW2963550986WikidataQ59883706 ScholiaQ59883706MaRDI QIDQ5215005
Tiziano De Angelis, Giorgio Ferrari
Publication date: 5 February 2020
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1601.05709
Hamilton-Jacobi-Bellman equationNash equilibriumverification theoremone-dimensional diffusiongames of optimal stoppinggames of singular control
2-person games (91A05) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Stochastic games, stochastic differential games (91A15) Games of timing (91A55)
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