Stochastic differential switching game in infinite horizon

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:474

Article

El Asri, Brahim¹  Mazid, Sehail¹ 

[1] Univ Ibn Zohr, ENSA, Aide Decis, BP 1136, Agadir, Morocco

关键词: Stochastic differential game;    Switching strategies;    Quasi-variational inequality;    Value function;    Viscosity solution;   

DOI  :  10.1016/j.jmaa.2019.01.040

来源: Elsevier

【 摘 要 】

We study a zero-sum stochastic differential switching game in infinite horizon. We prove the existence of the value of the game and characterize it as the unique viscosity solution of the associated system of quasi-variational inequalities with bilateral obstacles. We also obtain a verification theorem which provides an optimal strategy of the game. Finally, some numerical examples with two regimes are given. (C) 2019 Elsevier Inc. All rights reserved.

【 授权许可】

Free