Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications

René Aïd; Matteo Basei; Giorgia Callegaro; Luciano Campi; Tiziano Vargiolu

doi:10.1287/moor.2019.0989

Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications

Mathematics of Operations Research ◽

10.1287/moor.2019.0989 ◽

2020 ◽

Vol 45 (1) ◽

pp. 205-232 ◽

Cited By ~ 7

Author(s):

René Aïd ◽

Matteo Basei ◽

Giorgia Callegaro ◽

Luciano Campi ◽

Tiziano Vargiolu

Keyword(s):

Differential Games ◽

Stochastic Differential Games ◽

Verification Theorem ◽

Impulse Controls

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Stochastic differential games involving impulse controls

ESAIM Control Optimisation and Calculus of Variations ◽

10.1051/cocv/2010023 ◽

2010 ◽

Vol 17 (3) ◽

pp. 749-760 ◽

Cited By ~ 5

Author(s):

Feng Zhang

Keyword(s):

Differential Games ◽

Stochastic Differential Games ◽

Impulse Controls

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Stochastic Differential Games Involving Impulse Controls and Double-Obstacle Quasi-variational Inequalities

SIAM Journal on Control and Optimization ◽

10.1137/120880094 ◽

2013 ◽

Vol 51 (3) ◽

pp. 2102-2131 ◽

Cited By ~ 16

Author(s):

Andrea Cosso

Keyword(s):

Variational Inequalities ◽

Differential Games ◽

Stochastic Differential Games ◽

Impulse Controls

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Near Optimal Strategy for Nonlinear Stochastic Differential Games Based on the Technique of Statistical Linearization

ACTA AUTOMATICA SINICA ◽

10.3724/sp.j.1004.2013.00390 ◽

2014 ◽

Vol 39 (4) ◽

pp. 390-399

Author(s):

Ping ZHANG ◽

Yang-Wang FANG ◽

Xiao-Bin HUI ◽

Xin-Ai LIU ◽

Liang LI

Keyword(s):

Differential Games ◽

Optimal Strategy ◽

Stochastic Differential Games ◽

Statistical Linearization

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Mean-field type forward-backward doubly stochastic differential equations and related stochastic differential games

Frontiers of Mathematics in China ◽

10.1007/s11464-020-0889-y ◽

2020 ◽

Vol 15 (6) ◽

pp. 1307-1326

Author(s):

Qingfeng Zhu ◽

Lijiao Su ◽

Fuguo Liu ◽

Yufeng Shi ◽

Yong’ao Shen ◽

...

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Differential Games ◽

Mean Field ◽

Stochastic Differential Games ◽

Field Type ◽

Doubly Stochastic

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Bias and Overtaking Equilibria for Zero-Sum Stochastic Differential Games

Journal of Optimization Theory and Applications ◽

10.1007/s10957-011-9974-4 ◽

2011 ◽

Vol 153 (3) ◽

pp. 662-687 ◽

Cited By ~ 8

Author(s):

Beatris Escobedo-Trujillo ◽

Daniel López-Barrientos ◽

Onésimo Hernández-Lerma

Keyword(s):

Differential Games ◽

Stochastic Differential Games ◽

Zero Sum

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On the dynamic programming principle for uniformly nondegenerate stochastic differential games in domains and the Isaacs equations

Probability Theory and Related Fields ◽

10.1007/s00440-013-0495-y ◽

2013 ◽

Vol 158 (3-4) ◽

pp. 751-783 ◽

Cited By ~ 7

Author(s):

N. V. Krylov

Keyword(s):

Dynamic Programming ◽

Differential Games ◽

Stochastic Differential Games ◽

Dynamic Programming Principle ◽

Isaacs Equations

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Backward equations, stochastic control and zero-sum stochastic differential games

Stochastics and Stochastics Reports ◽

10.1080/17442509508834006 ◽

1995 ◽

Vol 54 (3-4) ◽

pp. 221-231 ◽

Cited By ~ 66

Author(s):

S. Hamadene ◽

J.P. Lepeltier

Keyword(s):

Differential Games ◽

Stochastic Control ◽

Stochastic Differential Games ◽

Zero Sum

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Correlated Equilibria for Infinite Horizon Nonzero-Sum Stochastic Differential Games

Modeling, Stochastic Control, Optimization, and Applications - The IMA Volumes in Mathematics and its Applications ◽

10.1007/978-3-030-25498-8_9 ◽

2019 ◽

pp. 181-200

Author(s):

Beatris A. Escobedo-Trujillo ◽

Héctor Jasso-Fuentes

Keyword(s):

Differential Games ◽

Infinite Horizon ◽

Stochastic Differential Games ◽

Correlated Equilibria

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Numerical Approximations for Stochastic Differential Games

SIAM Journal on Control and Optimization ◽

10.1137/s0363012901389457 ◽

2002 ◽

Vol 41 (2) ◽

pp. 457-486 ◽

Cited By ~ 34

Author(s):

Harold J. Kushner

Keyword(s):

Differential Games ◽

Stochastic Differential Games ◽

Numerical Approximations

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On a Problem of Stochastic Differential Games

Multicriteria Decision Making and Differential Games ◽

10.1007/978-1-4615-8768-2_25 ◽

1976 ◽

pp. 415-420

Author(s):

P. T. Liu

Keyword(s):

Differential Games ◽

Stochastic Differential Games

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