Stochastic Differential Games Involving Impulse Controls and Double-Obstacle Quasi-variational Inequalities.
Andrea CossoPublished in: SIAM J. Control. Optim. (2013)
Keyphrases
- variational inequalities
- nash equilibrium
- game theory
- sensitivity analysis
- complementarity problems
- nonlinear programming
- variational inequality problems
- hilbert spaces
- convex sets
- linear complementarity problem
- set valued
- primal dual
- fixed point
- linearly constrained
- saddle point
- cooperative
- boundary conditions
- linear programming
- worst case
- lipschitz continuity
- upper bound