Stochastic differential games involving impulse controls*
ESAIM: Control, Optimisation and Calculus of Variations (2011)
- Volume: 17, Issue: 3, page 749-760
- ISSN: 1292-8119
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topZhang, Feng. "Stochastic differential games involving impulse controls*." ESAIM: Control, Optimisation and Calculus of Variations 17.3 (2011): 749-760. <http://eudml.org/doc/221926>.
@article{Zhang2011,
abstract = {
A zero-sum stochastic differential game
problem on infinite horizon with continuous and impulse controls is
studied. We obtain the existence of the value of the game and
characterize it as the unique viscosity solution of the associated
system of quasi-variational inequalities. We also obtain a
verification theorem which provides an optimal strategy of the game.
},
author = {Zhang, Feng},
journal = {ESAIM: Control, Optimisation and Calculus of Variations},
keywords = {Stochastic differential
game; impulse control; quasi-variational inequalities; viscosity
solution; stochastic differential games; quasi-variational inequality; Elliott-Kalton value; viscosity solution; verification theorem},
language = {eng},
month = {8},
number = {3},
pages = {749-760},
publisher = {EDP Sciences},
title = {Stochastic differential games involving impulse controls*},
url = {http://eudml.org/doc/221926},
volume = {17},
year = {2011},
}
TY - JOUR
AU - Zhang, Feng
TI - Stochastic differential games involving impulse controls*
JO - ESAIM: Control, Optimisation and Calculus of Variations
DA - 2011/8//
PB - EDP Sciences
VL - 17
IS - 3
SP - 749
EP - 760
AB -
A zero-sum stochastic differential game
problem on infinite horizon with continuous and impulse controls is
studied. We obtain the existence of the value of the game and
characterize it as the unique viscosity solution of the associated
system of quasi-variational inequalities. We also obtain a
verification theorem which provides an optimal strategy of the game.
LA - eng
KW - Stochastic differential
game; impulse control; quasi-variational inequalities; viscosity
solution; stochastic differential games; quasi-variational inequality; Elliott-Kalton value; viscosity solution; verification theorem
UR - http://eudml.org/doc/221926
ER -
References
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