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Nonlinear variational inequalities and differential games with stopping times

Friedman, Avner; Bensoussan, Alain (1974), Nonlinear variational inequalities and differential games with stopping times, Journal of Functional Analysis, 16, 3, p. 305-352. http://dx.doi.org/10.1016/0022-1236(74)90076-7

Type
Article accepté pour publication ou publié
Date
1974
Journal name
Journal of Functional Analysis
Volume
16
Number
3
Publisher
Elsevier
Pages
305-352
Publication identifier
Metadata
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Author(s)
Friedman, Avner
Bensoussan, Alain
Abstract (EN)
Differential games with stopping times are introduced. The upper value satisfies a variational inequality of the first order. Next, stochastic differential games with stopping times are introduced and studied using nonlinear parabolic variational inequalities. The behavior of the value is studied as the coefficient of the diffusion matrix goes to zero.
Subjects / Keywords
differential games