论文信息 - Existence of Value in Stochastic Differential Games of Mixed Type

Existence of Value in Stochastic Differential Games of Mixed Type

In this article, we address stochastic differential games of mixed type with both control and stopping times. Under standard assumptions, we show that the value of the game can be characterized as the unique viscosity solution of corresponding Hamilton-Jacobi-Isaacs (HJI) variational inequalities.

M. K. Ghosh | K. S. Mallikarjuna Rao

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