Non-Markovian impulse control under nonlinear expectation

DOI10.1007/s00245-023-10049-7zbMath1522.49034arXiv2206.14785OpenAlexW4385953745MaRDI QIDQ6073845

Magnus Perninge

Publication date: 18 September 2023

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2206.14785

zbMATH Keywords

zero-sum gamesimpulse controlstochastic differential gamesrisk-sensitivitynon-linear expectation

Mathematics Subject Classification ID

Dynamic programming (90C39) Stochastic games, stochastic differential games (91A15) Impulsive optimal control problems (49N25) Risk models (general) (91B05)

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