S. Ankirchner, C. Blanchet-scalliet, and M. Jeanblanc, Controlling the Occupation Time of an Exponential Martingale, Applied Mathematics & Optimization, vol.9, issue.3, pp.1-14, 2015.
DOI : 10.1287/moor.8.3.373
URL : https://hal.archives-ouvertes.fr/hal-01227899

J. Aubin, Mathematical methods of game and economic theory, of Studies in Mathematics and its Applications, 1979.

M. Bardi, T. E. Raghavan, and T. Parthasarathy, Theory and numerical methods, Stochastic and differential games of Annals of the International Society of Dynamic Games, 1999.

D. Beaudoin and T. B. Swartz, Strategies for pulling the goalie in hockey. The American Statistician, 2012.

P. Brémaud, Bang-bang controls of point processes Advances in Appl, Probability, vol.8, issue.2, pp.385-394, 1976.

M. Falcone, NUMERICAL METHODS FOR DIFFERENTIAL GAMES BASED ON PARTIAL DIFFERENTIAL EQUATIONS, International Game Theory Review, vol.33, issue.02, pp.231-272, 2006.
DOI : 10.1137/S0363012994272460

M. Falcone and R. Ferretti, Semi-Lagrangian Approximation Schemes for Linear and Hamilton?Jacobi Equations, Society for Industrial and Applied Mathematics
DOI : 10.1137/1.9781611973051
URL : https://hal.archives-ouvertes.fr/hal-00916055

E. Hairer, S. Nørsett, and G. Wanner, Solving Ordinary Differential Equations I, 1993.
DOI : 10.1007/978-3-662-12607-3

J. Jacod and A. N. Shiryaev, Limit theorems for stochastic processes, of Grundlehren der Mathematischen Wissenschaften [Fundamental Principles of Mathematical Sciences, 2003.
DOI : 10.1007/978-3-662-02514-7

P. Jaillet, D. Lamberton, and B. Lapeyre, Variational inequalities and the pricing of American options, Acta Applicandae Mathematicae, vol.60, issue.3, pp.263-289, 1990.
DOI : 10.1007/BF00250676
URL : https://hal.archives-ouvertes.fr/hal-01667008

J. Mcnamara, Optimal Control of the Diffusion Coefficient of a Simple Diffusion Process, Mathematics of Operations Research, vol.8, issue.3, pp.373-380, 1983.
DOI : 10.1287/moor.8.3.373

D. G. Morrison and R. D. Wheat, Misapplications Reviews: Pulling the Goalie Revisited, Interfaces, vol.16, issue.6, pp.28-34, 1986.
DOI : 10.1287/inte.16.6.28

L. F. Shampine, Numerical solution of ordinary differential equations, 1994.

M. Sion, On general minimax theorems, Pacific Journal of Mathematics, vol.8, issue.1, pp.171-176, 1958.
DOI : 10.2140/pjm.1958.8.171
URL : http://msp.org/pjm/1958/8-1/pjm-v8-n1-p14-s.pdf

A. Washburn, Still More on Pulling the Goalie, Interfaces, vol.21, issue.2, pp.59-64, 1991.
DOI : 10.1287/inte.21.2.59

E. Zeidler, Nonlinear functional analysis and its applications. I Fixed-point theorems, 1986.
DOI : 10.1007/978-1-4612-5020-3

X. L. Zhang, Numerical Analysis of American Option Pricing in a Jump-Diffusion Model, Mathematics of Operations Research, vol.22, issue.3, pp.668-690, 1997.
DOI : 10.1287/moor.22.3.668