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Stochastic differential games involving impulse controls and double-obstacle quasi-variational inequalities
Stochastic differential game Impulse control Quasi-variational inequality Viscosity solution
2012/6/25
We study a two-player zero-sum stochastic differential game with both players adopting impulse controls, on a finite time horizon. The Hamilton-Jacobi-Bellman-Isaacs (HJBI) partial differential equati...