lnu.sePublications
Planned maintenance
A system upgrade is planned for 10/12-2024, at 12:00-13:00. During this time DiVA will be unavailable.
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Zero-sum stochastic differential games of impulse versus continuous control by FBSDEs
Linnaeus University, Faculty of Technology, Department of Physics and Electrical Engineering.ORCID iD: 0000-0003-3111-4820
2023 (English)In: Journal of Mathematical Analysis and Applications, ISSN 0022-247X, E-ISSN 1096-0813, Vol. 527, no 1, article id 127403Article in journal (Refereed) Published
Abstract [en]

We consider a stochastic differential game in the context of forward-backward stochastic differential equations, where one player implements an impulse control while the opponent controls the system continuously. Utilizing the notion of "backward semigroups" we first prove the dynamic programming principle (DPP) for a truncated version of the problem in a straightforward manner. Relying on a uniform convergence argument then enables us to show the DPP for the general setting. Our approach avoids technical constraints imposed in previous works dealing with the same problem and, more importantly, allows us to consider impulse costs that depend on the present value of the state process in addition to unbounded coefficients. Using the dynamic programming principle we deduce that the upper and lower value functions are both solutions (in viscosity sense) to the same Hamilton-Jacobi-Bellman-Isaacs obstacle problem. By showing uniqueness of solutions to this partial differential inequality we conclude that the game has a value.(c) 2023 The Author(s). Published by Elsevier Inc. This is an open access article under the CC BY license (http://creativecommons .org /licenses /by /4 .0/).

Place, publisher, year, edition, pages
Elsevier, 2023. Vol. 527, no 1, article id 127403
Keywords [en]
Forward-backward stochastic, differential equations, Impulse control, Quasi-variational inequalities, Viscosity solutions, Zero-sum stochastic differential games
National Category
Control Engineering
Research subject
Physics, Electrotechnology
Identifiers
URN: urn:nbn:se:lnu:diva-123525DOI: 10.1016/j.jmaa.2023.127403ISI: 001011079500001Scopus ID: 2-s2.0-85160086851OAI: oai:DiVA.org:lnu-123525DiVA, id: diva2:1786668
Available from: 2023-08-09 Created: 2023-08-09 Last updated: 2023-08-24Bibliographically approved

Open Access in DiVA

No full text in DiVA

Other links

Publisher's full textScopus

Authority records

Perninge, Magnus

Search in DiVA

By author/editor
Perninge, Magnus
By organisation
Department of Physics and Electrical Engineering
In the same journal
Journal of Mathematical Analysis and Applications
Control Engineering

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 43 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf