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Stochastic differential games involving impulse controls*

Published online by Cambridge University Press:  23 April 2010

Feng Zhang
Feng Zhang*
Affiliation:
School of Mathematics, Shandong University, Jinan 250100, P.R. China. zhangfeng1104@gmail.com

Abstract

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A zero-sum stochastic differential gameproblem on infinite horizon with continuous and impulse controls isstudied. We obtain the existence of the value of the game andcharacterize it as the unique viscosity solution of the associatedsystem of quasi-variational inequalities. We also obtain averification theorem which provides an optimal strategy of the game.

Keywords

Stochastic differentialgameimpulse controlquasi-variational inequalitiesviscositysolution

Information

Type
Research Article
Information
ESAIM: Control, Optimisation and Calculus of Variations , Volume 17 , Issue 3 , July 2011, pp. 749 - 760
Copyright
© EDP Sciences, SMAI, 2010

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