Differential Games of Mixed Type with Control and Stopping Times

被引:0
|
作者
Mrinal K. Ghosh
Mallikarjuna K. S. Rao
Dharmatti Sheetal
机构
[1] Indian Institute of Science,Department of Mathematics
[2] Indian Institute of Technology,Industrial Engineering and Operations Research
[3] Université Paul Sabatier,Laboratoire MIP
关键词
90D25; 90D26; Differential game; strategy; stopping time; value; viscosity solution; saddle point equilibrium;
D O I
暂无
中图分类号
学科分类号
摘要
We study a zero sum differential game of mixed type where each player uses both control and stopping times. Under certain conditions we show that the value function for this problem exists and is the unique viscosity solution of the corresponding variational inequalities. We also show the existence of saddle point equilibrium for a special case of differential game.
引用
收藏
页码:143 / 158
页数:15
相关论文
共 50 条
  • [1] Differential Games of Mixed Type with Control and Stopping Times
    Ghosh, Mrinal K.
    Rao, Mallikarjuna K. S.
    Sheetal, Dharmatti
    [J]. NODEA-NONLINEAR DIFFERENTIAL EQUATIONS AND APPLICATIONS, 2009, 16 (02): : 143 - 158
  • [2] Martingale approach to stochastic differential games of control and stopping
    Karatzas, Ioannis
    Zamfirescu, Ingrid-Mona
    [J]. ANNALS OF PROBABILITY, 2008, 36 (04): : 1495 - 1527
  • [3] Randomized optimal stopping times for a class of stopping games
    Domansky, VK
    [J]. THEORY OF PROBABILITY AND ITS APPLICATIONS, 2001, 46 (04) : 708 - 717
  • [4] Randomized stopping times in Dynkin games
    Neumann, P
    Ramsey, D
    Szajowski, K
    [J]. ZEITSCHRIFT FUR ANGEWANDTE MATHEMATIK UND MECHANIK, 2002, 82 (11-12): : 811 - 819
  • [5] DIFFERENTIAL GAMES WITH OPTIONAL STOPPING
    KALTON, NJ
    [J]. PROCEEDINGS OF THE CAMBRIDGE PHILOSOPHICAL SOCIETY, 1974, 76 : 263 - 284
  • [6] Optimal stopping and stochastic control differential games for jump diffusions
    Baghery, Fouzia
    Haadem, Sven
    Oksendal, Bernt
    Turpin, Isabelle
    [J]. STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES, 2013, 85 (01) : 85 - 97
  • [7] NONZERO-SUM STOCHASTIC DIFFERENTIAL GAMES WITH STOPPING TIMES AND FREE BOUNDARY PROBLEMS
    BENSOUSSAN, A
    FRIEDMAN, A
    [J]. TRANSACTIONS OF THE AMERICAN MATHEMATICAL SOCIETY, 1977, 231 (02) : 275 - 327
  • [8] STOCHASTIC GAMES AND EPSILON OPTIMAL STOPPING TIMES
    ANDRE, C
    [J]. ANNALES DE LA SOCIETE SCIENTIFIQUE DE BRUXELLES SERIES 1-SCIENCES MATHEMATIQUES ASTRONOMIQUES ET PHYSIQUES, 1971, 85 (02): : 155 - &
  • [9] Existence of Value in Stochastic Differential Games of Mixed Type
    Ghosh, Mrinal K.
    Rao, K. S. Mallikarjuna
    [J]. STOCHASTIC ANALYSIS AND APPLICATIONS, 2012, 30 (05) : 895 - 905
  • [10] On time-inconsistent stopping problems and mixed strategy stopping times
    Christensen, Soeren
    Lindensjo, Kristoffer
    [J]. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2020, 130 (05) : 2886 - 2917