A BSDE approach to stochastic differential games involving impulse controls and HJBI equation (Q2165425)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A BSDE approach to stochastic differential games involving impulse controls and HJBI equation |
scientific article |
Statements
A BSDE approach to stochastic differential games involving impulse controls and HJBI equation (English)
0 references
19 August 2022
0 references
dynamic programming principle (DPP)
0 references
forward-backward stochastic differential equations (FBSDEs)
0 references
Hamilton-Jacobi-Bellman-Isaacs (HJBI)
0 references
impulse control
0 references
stochastic differential games
0 references
value function
0 references
viscosity solution
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
