On a variational inequality associated with a stopping game combined with a control

DOI10.1080/10451120212867zbMath1019.49018OpenAlexW1975092427MaRDI QIDQ3148776

Kenji Kamizono, Hiroaki Morimoto

Publication date: 5 September 2003

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10451120212867

zbMATH Keywords

controlvariational inequalityviscosity solutionstopping game

Mathematics Subject Classification ID

Variational inequalities (49J40) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (6)

The Dynkin game with regime switching and applications to pricing game options ⋮ Martingale approach to stochastic differential games of control and stopping ⋮ BSDEs with two reflecting barriers: the general result ⋮ L^p-Solutions for Doubly Reflected Backward Stochastic Differential Equations ⋮ Variational Inequalities for Combined Control and Stopping Game ⋮ Non-linear Dynkin games over split stopping times

Cites Work

• Dynkin games and martingale methods
• On the Optimal Stopping Time Problem for Degenerate Diffusions
• On the Optimal Impulse Control Problem for Degenerate Diffusions
• User’s guide to viscosity solutions of second order partial differential equations
• Utility Maximization with Discretionary Stopping
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
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