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- W2963087547 abstract "We study a zero-sum stochastic differential switching game in infinite horizon. We prove the existence of the value of the game and characterize it as the unique viscosity solution of the associated system of quasi-variational inequalities with bilateral obstacles. We also obtain a verification theorem which provides an optimal strategy of the game. Finally, some numerical examples with two regimes are given." @default.
- W2963087547 created "2019-07-30" @default.
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- W2963087547 date "2019-06-01" @default.
- W2963087547 modified "2023-10-03" @default.
- W2963087547 title "Stochastic differential switching game in infinite horizon" @default.
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- W2963087547 doi "https://doi.org/10.1016/j.jmaa.2019.01.040" @default.
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