Stochastic differential games involving impulse controls
ESAIM: Control, Optimisation and Calculus of Variations, Tome 17 (2011) no. 3, pp. 749-760.

A zero-sum stochastic differential game problem on infinite horizon with continuous and impulse controls is studied. We obtain the existence of the value of the game and characterize it as the unique viscosity solution of the associated system of quasi-variational inequalities. We also obtain a verification theorem which provides an optimal strategy of the game.

DOI : 10.1051/cocv/2010023
Classification : 91A15, 49N25, 49L20
Mots clés : stochastic differential game, impulse control, quasi-variational inequalities, viscosity solution
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     author = {Zhang, Feng},
     title = {Stochastic differential games involving impulse controls},
     journal = {ESAIM: Control, Optimisation and Calculus of Variations},
     pages = {749--760},
     publisher = {EDP-Sciences},
     volume = {17},
     number = {3},
     year = {2011},
     doi = {10.1051/cocv/2010023},
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     zbl = {1223.93121},
     language = {en},
     url = {http://archive.numdam.org/articles/10.1051/cocv/2010023/}
}
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Zhang, Feng. Stochastic differential games involving impulse controls. ESAIM: Control, Optimisation and Calculus of Variations, Tome 17 (2011) no. 3, pp. 749-760. doi : 10.1051/cocv/2010023. http://archive.numdam.org/articles/10.1051/cocv/2010023/

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