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- W3208728045 abstract "This paper focuses on zero-sum stochastic differential games in the framework of forward-backward stochastic differential equations on a finite time horizon with both players adopting impulse controls. By means of BSDE methods, in particular that of the notion from Peng’s stochastic backward semigroups, the authors prove a dynamic programming principle for both the upper and the lower value functions of the game. The upper and the lower value functions are then shown to be the unique viscosity solutions of the Hamilton-Jacobi-Bellman-Isaacs equations with a double-obstacle. As a consequence, the uniqueness implies that the upper and lower value functions coincide and the game admits a value." @default.
- W3208728045 created "2021-11-08" @default.
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- W3208728045 date "2021-10-23" @default.
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- W3208728045 title "A BSDE Approach to Stochastic Differential Games Involving Impulse Controls and HJBI Equation" @default.
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- W3208728045 doi "https://doi.org/10.1007/s11424-021-0264-4" @default.
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