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math.PR2012
Stochastic differential games involving impulse controls and double-obstacle quasi-variational inequalities
Andrea Cosso
We study a two-player zero-sum stochastic differential game with both players adopting impulse controls, on a finite time horizon. The Hamilton-Jacobi-Bellman-Isaacs (HJBI) partial…
math.PR2012★ 7 cited
Viscosity Solutions of Path-Dependent PDEs and Non-Markovian Forward-Backward Stochastic Equations
Andrea Cosso
It is known that Markovian forward-backward stochastic differential equations provide nonlinear Feynman-Kac representation formulae for semilinear parabolic PDEs. We show that non-…