Continuous and impulse controls differential game in finite horizon with Nash-equilibrium and application

DOI10.1016/j.cam.2022.115009zbMath1518.91018arXiv2208.01423MaRDI QIDQ6098966

Publication date: 19 June 2023

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2208.01423

zbMATH Keywords

viscosity solution discrete approximation impulse control zero-sum differential game Nash-equilibrium continuous-time portfolio optimization

Mathematics Subject Classification ID

Noncooperative games (91A10) Dynamic programming in optimal control and differential games (49L20) Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10) Impulsive optimal control problems (49N25)

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