Existence of Value in Stochastic Differential Games of Mixed Type |
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| Authors: | Mrinal K Ghosh K S Mallikarjuna Rao |
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| Institution: | 1. Department of Mathematics , Indian Institute of Science , Bangalore , India mkg@math.iisc.ernet.in;3. Industrial Engineering and Operations Research , Indian Institute of Technology Bombay , Mumbai , India |
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| Abstract: | 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. |
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| Keywords: | Bilateral constraints Stochastic differential game Stopping time Variational inequalities Viscosity solution |
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