In:
Abstract and Applied Analysis, Hindawi Limited, Vol. 2013 ( 2013), p. 1-7
Abstract:
We consider a nonzero-sum stochastic differential game which involves two players, a controller and a stopper. The controller chooses a control process, and the stopper selects the stopping rule which halts the game. This game is studied in a jump diffusions setting within Markov control limit. By a dynamic programming approach, we give a verification theorem in terms of variational inequality-Hamilton-Jacobi-Bellman (VIHJB) equations for the solutions of the game. Furthermore, we apply the verification theorem to characterize Nash equilibrium of the game in a specific example.
Type of Medium:
Online Resource
ISSN:
1085-3375
,
1687-0409
Language:
English
Publisher:
Hindawi Limited
Publication Date:
2013
detail.hit.zdb_id:
2064801-7
SSG:
17,1
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