Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/6106
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dc.contributorDepartment of Applied Mathematics-
dc.creatorTang, S-
dc.creatorHou, SH-
dc.date.accessioned2014-12-11T08:28:15Z-
dc.date.available2014-12-11T08:28:15Z-
dc.identifier.issn0363-0129-
dc.identifier.urihttp://hdl.handle.net/10397/6106-
dc.language.isoenen_US
dc.publisherSociety for Industrial and Applied Mathematicsen_US
dc.rights© 2007 Society for Industrial and Applied Mathematicsen_US
dc.subjectStochastic differential gamesen_US
dc.subjectDynamic programming inequalitiesen_US
dc.subjectSwitching strategiesen_US
dc.subjectValue functionen_US
dc.subjectViscosity solutionen_US
dc.titleSwitching games of stochastic differential systemsen_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.spage900-
dc.identifier.epage929-
dc.identifier.volume46-
dc.identifier.issue3-
dc.identifier.doi10.1137/050642204-
dcterms.abstractA two-player, zero-sum, switching game is formulated for general stochastic differential systems and is studied using a combined dynamic programming and viscosity solution approach. The existence of the game value is proved. For the proof of the related dynamic programming principle (DDP) for the lower and upper value functions, the measurability problem, of the same kind as mentioned in the paper of Fleming and Souganidis, is also encountered, and we are able to get around it via a delicate adaptation of their technique. Moreover, the traditional direct method to prove the time continuity of lower and upper value functions also gives rise to a serious measurability problem. To get around the new difficulty, a subtle dynamic programming argument is developed to obtain the time continuity, which in return is used to derive the DDP for random intermediate times from the DDP with deterministic intermediate times.-
dcterms.accessRightsopen accessen_US
dcterms.bibliographicCitationSIAM journal on control and optimization, 2007, v. 46, no. 3, p. 900-929-
dcterms.isPartOfSIAM journal on control and optimization-
dcterms.issued2007-
dc.identifier.isiWOS:000249318700006-
dc.identifier.scopus2-s2.0-44649173136-
dc.identifier.eissn1095-7138-
dc.description.oaVersion of Recorden_US
dc.identifier.FolderNumberOA_IR/PIRAen_US
dc.description.pubStatusPublisheden_US
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