Existence of Value in Stochastic Differential Games of Mixed Type
| Data(s) |
2012
|
|---|---|
| Resumo |
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. |
| Formato |
application/pdf |
| Identificador |
http://eprints.iisc.ernet.in/45122/1/sto_ana_app_30-5_895-905_2012.pdf Ghosh, Mrinal K. and Rao, K. S. Mallikarjuna (2012) Existence of Value in Stochastic Differential Games of Mixed Type. In: STOCHASTIC ANALYSIS AND APPLICATIONS, 30 (5). pp. 895-905. |
| Publicador |
TAYLOR & FRANCIS INC |
| Relação |
http://dx.doi.org/10.1080/07362994.2012.704853 http://eprints.iisc.ernet.in/45122/ |
| Palavras-Chave | #Mathematics |
| Tipo |
Journal Article PeerReviewed |
