Nonzero-Sum Stochastic Differential Game between Controller and Stopper for Jump Diffusions
Joint Authors
Feng, Enmin
Zheng, Cheng-De
Song, Aimin
Wang, Yan
Source
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-05-16
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract EN
We consider a nonzero-sum stochastic differential game which involves two players, a controller and a stopper.
The controller chooses a control process, and the stopper selects the stopping rule which halts the game.
This game is studied in a jump diffusions setting within Markov control limit.
By a dynamic programming approach, we give a verification theorem in terms of variational inequality-Hamilton-Jacobi-Bellman (VIHJB) equations for the solutions of the game.
Furthermore, we apply the verification theorem to characterize Nash equilibrium of the game in a specific example.
American Psychological Association (APA)
Wang, Yan& Song, Aimin& Zheng, Cheng-De& Feng, Enmin. 2013. Nonzero-Sum Stochastic Differential Game between Controller and Stopper for Jump Diffusions. Abstract and Applied Analysis،Vol. 2013, no. 2013, pp.1-7.
https://search.emarefa.net/detail/BIM-496681
Modern Language Association (MLA)
Wang, Yan…[et al.]. Nonzero-Sum Stochastic Differential Game between Controller and Stopper for Jump Diffusions. Abstract and Applied Analysis No. 2013 (2013), pp.1-7.
https://search.emarefa.net/detail/BIM-496681
American Medical Association (AMA)
Wang, Yan& Song, Aimin& Zheng, Cheng-De& Feng, Enmin. Nonzero-Sum Stochastic Differential Game between Controller and Stopper for Jump Diffusions. Abstract and Applied Analysis. 2013. Vol. 2013, no. 2013, pp.1-7.
https://search.emarefa.net/detail/BIM-496681
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-496681