Switching Games of Stochastic Differential Systems

DOI10.1137/050642204zbMath1293.91022OpenAlexW2034343248MaRDI QIDQ3506530

Shui-Hung Hou, Shanjian Tang

Publication date: 16 June 2008

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

Full work available at URL: http://hdl.handle.net/10397/6106

zbMATH Keywords

viscosity solutionvalue functionstochastic differential gamesdynamic programming inequalitiesswitching strategies

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Differential games and control (49N70) 2-person games (91A05) Differential games (aspects of game theory) (91A23) Dynamic programming (90C39) 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)

Related Items (12)

Viscosity solutions of systems of variational inequalities with interconnected bilateral obstacles of non-local type ⋮ Probabilistic interpretation for systems of Isaacs equations with two reflecting barriers ⋮ Stochastic differential switching game in infinite horizon ⋮ A zero-sum stochastic differential game with impulses, precommitment, and unrestricted cost functions ⋮ Zero-sum stochastic differential games of impulse versus continuous control by FBSDEs ⋮ Stochastic differential games with reflection and related obstacle problems for Isaacs equations ⋮ Stochastic representation for solutions of Isaacs' type integral-partial differential equations ⋮ Infinite horizon linear quadratic stochastic Nash differential games of Markov jump linear systems with its application ⋮ Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes ⋮ A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time ⋮ Two-player zero-sum stochastic differential games with random horizon ⋮ Switching game of backward stochastic differential equations and associated system of obliquely reflected backward stochastic differential equations

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