Viscosity solutions associated with switching game for piecewise-deterministic processes

DOI10.1080/17442509208833744MaRDI QIDQ3991734zbMATH OpenOpenAlexFDO

Authors N. Yamada, Suzanne Lenhart

Publication date 28 June 1992

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442509208833744

zbMATH Keywords

bilateral implicit obstaclesgeneralized viscosity solutionlinear system of integro-differential equationsswitching game

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Probabilistic games; gambling (91A60)

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• User’s guide to viscosity solutions of second order partial differential equations
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• A dynamic programming approach to optimal pollution control under uncertain irreversibility: the Poisson case
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