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Mixed generalized Dynkin game and stochastic control in a Markovian framework

By Roxana Dumitrescu, Marie-Claire Quenez and Agnès Sulem

Abstract

International audienc

Topics: Generalized Dynkin games, Markovian stochastic control, mixed stochastic control/Dynkin game with nonlinear expectation, doubly reflected BSDEs, dynamic programming principles, generalized Hamilton–Jacobi–Bellman variational inequalities, viscosity solution, [ MATH ] Mathematics [math]
Publisher: HAL CCSD
Year: 2016
OAI identifier: oai:HAL:hal-01417203v1
Provided by: Hal-Diderot
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