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论文类型：期刊论文
发表时间：2013-01-01
发表刊物：ABSTRACT AND APPLIED ANALYSIS
收录刊物：SCIE、Scopus
卷号：2013
ISSN号：1085-3375
摘要：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.