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
TypeArticle accepté pour publication ou publié
Journal nameJournal of Functional Analysis
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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 / Keywordsdifferential games
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