典型文献
A BSDE Approach to Stochastic Differential Games Involving Impulse Controls and HJBI Equation
文献摘要：
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.
文献关键词：
中图分类号：
作者姓名：
ZHANG Liangquan
作者机构：
School of Science,Beijing University of Posts and Telecommunications,Beijing 100876,China
文献出处：
引用格式：
[1]ZHANG Liangquan-.A BSDE Approach to Stochastic Differential Games Involving Impulse Controls and HJBI Equation)[J].系统科学与复杂性学报（英文版）,2022(03):766-801
A类：
BSDE,HJBI,semigroups
B类：
Approach,Stochastic,Differential,Games,Involving,Impulse,Controls,Equation,This,paper,focuses,zero,sum,stochastic,differential,games,framework,forward,backward,equations,finite,horizon,both,players,adopting,impulse,controls,By,means,methods,particular,that,notion,from,Peng,authors,prove,dynamic,programming,principle,upper,lower,value,functions,are,then,shown,be,viscosity,solutions,Hamilton,Jacobi,Bellman,Isaacs,double,obstacle,consequence,uniqueness,implies,coincide,admits
AB值：
0.618649
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