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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
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Abstract

A zero-sum stochastic differential game problem on infinite horizon with continuous and impulse controls is studied. We obtain the existence of the value of the game and characterize it as the unique viscosity solution of the associated system of quasi-variational inequalities. We also obtain a verification theorem which provides an optimal strategy of the game.

Keywords

Stochastic differential gameimpulse controlquasi-variational inequalitiesviscosity solution
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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