Displaying similar documents to “Bilateral Evolution Problems of Non-Variational Type: Existence, Uniqueness, Hölder-Regularity and Approximation of Solutions.”

Stochastic differential games involving impulse controls

Feng Zhang (2011)

ESAIM: Control, Optimisation and Calculus of Variations

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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.