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Nonlinear variational inequalities and differential games with stopping times

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Date
1974
Dewey
Analyse
Sujet
differential games
Journal issue
Journal of Functional Analysis
Volume
16
Number
3
Publication date
1974
Article pages
305-352
Publisher
Elsevier
DOI
http://dx.doi.org/10.1016/0022-1236(74)90076-7
URI
https://basepub.dauphine.fr/handle/123456789/12920
Collections
  • CEREMADE : Publications
Metadata
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Author
Friedman, Avner
Bensoussan, Alain
Type
Article accepté pour publication ou publié
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.

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