Zero-sum stochastic differential game in finite horizon involving impulse controls
From MaRDI portal
Publication:2187339
DOI10.1007/s00245-018-9529-2zbMath1454.91020arXiv1706.08880OpenAlexW3105644870WikidataQ129246885 ScholiaQ129246885MaRDI QIDQ2187339
Publication date: 2 June 2020
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1706.08880
Differential games and control (49N70) 2-person games (91A05) Stochastic games, stochastic differential games (91A15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Impulsive control/observation systems (93C27)
Related Items (11)
Stochastic impulse control problem with state and time dependent cost functions ⋮ HEDGING OF AMERICAN OPTIONS IN ILLIQUID MARKETS WITH PRICE IMPACTS ⋮ A BSDE approach to stochastic differential games involving impulse controls and HJBI equation ⋮ Maximum principle for conditional mean-field FBSDEs systems with regime-switching involving impulse controls ⋮ A zero-sum deterministic impulse controls game in infinite horizon with a new HJBI-QVI ⋮ Continuous and impulse controls differential game in finite horizon with Nash-equilibrium and application ⋮ Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications ⋮ A fixed-point policy-iteration-type algorithm for symmetric nonzero-sum stochastic impulse control games ⋮ Nash equilibria in nonzero-sum differential games with impulse control ⋮ The value of a minimax problem involving impulse control ⋮ Regression Monte Carlo for impulse control
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Zero-sum Markov games with stopping and impulsive strategies
- Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions
- Backward SDEs with constrained jumps and quasi-variational inequalities
- Optimal stochastic intervention control with application to the exchange rate
- Optimal Central Bank intervention in the foreign exchange market
- Zero-sum differential games involving impulse controls
- Portfolio optimisation with strictly positive transaction costs and impulse control
- A barrier option of American type
- BSDEs with two reflecting barriers: the general result
- Stochastic optimal multi-modes switching with a viscosity solution approach
- Some applications of impulse control in mathematical finance
- A zero-sum stochastic differential game with impulses, precommitment, and unrestricted cost functions
- A model of optimal portfolio selection under liquidity risk and price impact
- On the Multidimensional Controller-and-Stopper Games
- Stochastic Differential Games Involving Impulse Controls and Double-Obstacle Quasi-variational Inequalities
- On the Impulse Control of Jump Diffusions
- Impulse Control of Multidimensional Jump Diffusions in Finite Time Horizon
- A General Verification Result for Stochastic Impulse Control Problems
- Weak Dynamic Programming Principle for Viscosity Solutions
- Valuation of Commodity-Based Swing Options
- OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
- Stochastic differential games involving impulse controls
- Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
- Optimal Impulse Control of Portfolios
- User’s guide to viscosity solutions of second order partial differential equations
- Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach
- Impulse Control Method and Exchange Rate
- Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
- Optimization of the flow of dividends
- Deterministic minimax impulse control in finite horizon: the viscosity solution approach
- Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications
- CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
- Game approach to the optimal stopping problem†
This page was built for publication: Zero-sum stochastic differential game in finite horizon involving impulse controls
