A BSDE approach to stochastic differential games involving impulse controls and HJBI equation
DOI10.1007/s11424-021-0264-4zbMath1495.91013arXiv1903.07986OpenAlexW3208728045WikidataQ115378511 ScholiaQ115378511MaRDI QIDQ2165425
Publication date: 19 August 2022
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1903.07986
viscosity solutionvalue functionimpulse controlstochastic differential gamesforward-backward stochastic differential equations (FBSDEs)Hamilton-Jacobi-Bellman-Isaacs (HJBI)dynamic programming principle (DPP)
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic games, stochastic differential games (91A15) General systems (93A10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Impulsive control/observation systems (93C27)
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