Zero-Sum Stochastic Differential Game in Finite Horizon Involving Impulse Controls

被引：10
|
作者：
El Asri, Brahim [1 ]
Mazid, Sehail [1 ]
机构：
[1] Univ Ibn Zohr, ENSA, Equipe Aide Decis, BP 1136, Agadir, Morocco
来源：
APPLIED MATHEMATICS AND OPTIMIZATION | 2020年 / 81卷 / 03期
关键词：
Stochastic differential game; Impulse control; Quasi-variational inequality; Viscosity solution; VISCOSITY SOLUTIONS; INTERVENTION; OPTIMIZATION; PORTFOLIO; RISK;
D O I：
10.1007/s00245-018-9529-2
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
This paper considers the problem of two-player zero-sum stochastic differential game with both players adopting impulse controls in finite horizon under rather weak assumptions on the cost functions (c and chi not decreasing in time). We use the dynamic programming principle and viscosity solutions approach to show existence and uniqueness of a solution for the Hamilton-Jacobi-Bellman-Isaacs (HJBI) partial differential equation (PDE) of the game. We prove that the upper and lower value functions coincide.
引用
收藏
页码：1055 / 1087
页数：33
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