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- W2600943656 abstract "We study a zero-sum stochastic differential game with impulse control. Previous works studying such games ignore the well-posedness of the underlying stochastic differential equation, which can blow up due to impulses. In this case, the value functions associated with the game may not even be well-defined, leading to serious issues in the dynamic programming arguments. We address this rigorously by considering a model in which the impulse player announces, at the start of the game, that they will perform no more than q impulses (q can be chosen arbitrarily large). Since this model is novel, some nonstandard arguments are required to apply dynamic programming. We establish that (without an Isaacs condition) the game admits a value, and in turn, the existence and uniqueness of viscosity solutions to an associated Hamilton-Jacobi-Bellman-Isaacs quasi-variational inequality." @default.
- W2600943656 created "2017-04-07" @default.
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- W2600943656 date "2016-09-28" @default.
- W2600943656 modified "2023-09-27" @default.
- W2600943656 title "A rigorous approach to the value of zero-sum stochastic differential games with impulses" @default.
- W2600943656 hasPublicationYear "2016" @default.
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