Stochastic Differential Games Involving Impulse Controls and Double-Obstacle Quasi-variational Inequalities

DOI10.1137/120880094zbMath1271.93172arXiv1206.1219OpenAlexW2962794004MaRDI QIDQ2848577

Andrea Cosso

Publication date: 26 September 2013

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1206.1219

zbMATH Keywords

viscosity solutionstochastic differential gameimpulse controlquasi-variational inequalitydynamic programming principledouble-obstacle quasi-variational inequalitiesHamilton-Jacobi-Bellman-Isaacs (HJBI) equation

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Differential games and control (49N70) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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