ON THE SINGULARITIES OF AN IMPULSIVE DIFFERENTIAL GAME ARISING IN MATHEMATICAL FINANCE

DOI10.1142/S0219198906000874zbMath1184.91197OpenAlexW1964101642MaRDI QIDQ5483382

Pierre Bernhard

Publication date: 14 August 2006

Published in: International Game Theory Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219198906000874

zbMATH Keywords

differential gamesrobust controloption pricingimpulse control

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Applications of game theory (91A80) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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A zero-sum stochastic differential game with impulses, precommitment, and unrestricted cost functions ⋮ Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions

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