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Indexed by:期刊论文

Date of Publication:2013-01-01

Journal:ABSTRACT AND APPLIED ANALYSIS

Included Journals:SCIE、Scopus

Volume:2013

ISSN No.:1085-3375

Abstract:We consider a nonzero-sum stochastic differential game which involves two players, a controller and a stopper. The controller chooses a control process, and the stopper selects the stopping rule which halts the game. This game is studied in a jump diffusions setting within Markov control limit. By a dynamic programming approach, we give a verification theorem in terms of variational inequality-Hamilton-Jacobi-Bellman (VIHJB) equations for the solutions of the game. Furthermore, we apply the verification theorem to characterize Nash equilibrium of the game in a specific example.