Record Details

Existence of Value in Stochastic Differential Games of Mixed Type

DSpace at IIT Bombay

View Archive Info
 
 
Field Value
 
Title Existence of Value in Stochastic Differential Games of Mixed Type
 
Creator GHOSH, MK
RAO, KSM
 
Subject Bilateral constraints
Stochastic differential game
Stopping time
Variational inequalities
Viscosity solution
VARIATIONAL-INEQUALITIES
EQUATIONS
 
Description In this article, we address stochastic differential games of mixed type with both control and stopping times. Under standard assumptions, we show that the value of the game can be characterized as the unique viscosity solution of corresponding Hamilton-Jacobi-Isaacs (HJI) variational inequalities.
 
Publisher TAYLOR & FRANCIS INC
 
Date 2014-10-16T13:37:04Z
2014-10-16T13:37:04Z
2012
 
Type Article
 
Identifier STOCHASTIC ANALYSIS AND APPLICATIONS, 30(5)895-905
http://dx.doi.org/10.1080/07362994.2012.704853
http://dspace.library.iitb.ac.in/jspui/handle/100/15683
 
Language en