Finite Difference Scheme for Stochastic Differential Games with Several Singular Control Variables and Its Environmental Application

DOI10.1007/978-3-030-11539-5_10zbMath1434.65144OpenAlexW2913029752MaRDI QIDQ5235269

Yuta Yaegashi, Hidekazu Yoshioka

Publication date: 10 October 2019

Published in: Finite Difference Methods. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-11539-5_10

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stochastic games, stochastic differential games (91A15) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Numerical methods for variational inequalities and related problems (65K15)

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