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- W3105644870 abstract "This paper considers the problem of two-player zero-sum stochastic differential game with both players adopting impulse controls in finite horizon under rather weak assumptions on the cost functions ($c$ and $chi$ not decreasing in time). We use the dynamic programming principle and viscosity solutions approach to show existence and uniqueness of a solution for the Hamilton-Jacobi-Bellman-Isaacs (HJBI) partial differential equation (PDE) of the game. We prove that the upper and lower value functions coincide." @default.
- W3105644870 created "2020-11-23" @default.
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- W3105644870 date "2018-09-24" @default.
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- W3105644870 title "Zero-Sum Stochastic Differential Game in Finite Horizon Involving Impulse Controls" @default.
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- W3105644870 doi "https://doi.org/10.1007/s00245-018-9529-2" @default.
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