Mixed generalized Dynkin game and stochastic control in a Markovian framework

DOI10.1080/17442508.2016.1230614zbMath1361.60054arXiv1508.02742OpenAlexW2963077011MaRDI QIDQ2974871

Agnès Sulem, Roxana Dumitrescu, Marie-Claire Quenez

Publication date: 11 April 2017

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.02742

zbMATH Keywords

viscosity solutionnonlinear expectationdoubly reflected backward stochastic differential equationsdynamic programming principlesmixed stochastic controlMarkovian stochastic controlHamilton-Jacobi-Bellman variational inequalitiesgeneralized Dynkin games

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Variational inequalities (49J40) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic games, stochastic differential games (91A15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Existence of optimal solutions to problems involving randomness (49J55)

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