Nonzero-Sum Stochastic Differential Game between Controller and Stopper for Jump Diffusions
نویسندگان
چکیده
منابع مشابه
Nonzero-Sum Stochastic Differential Game between Controller and Stopper for Jump Diffusions
and Applied Analysis 3 Fix an open solvency set S ⊂ R. Let τS = inf {t > 0; Y (t) ∉ S} (10) be the bankruptcy time. τS is the first time at which the stochastic process Y(t) exits the solvency set S. Similar optimal control problems in which the terminal time is governed by a stopping criterion are considered in [19–21] in the deterministic case. Let f i : Rk × K → R and g i : Rk → R be given f...
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ژورنال
عنوان ژورنال: Abstract and Applied Analysis
سال: 2013
ISSN: 1085-3375,1687-0409
DOI: 10.1155/2013/761306