On the Multi-Dimensional Controller and Stopper Games
AbstractWe consider a zero-sum stochastic differential controller-and-stopper game in which the state process is a controlled diffusion evolving in a multi-dimensional Euclidean space. In this game, the controller affects both the drift and the volatility terms of the state process. Under appropriate conditions, we show that the game has a value and the value function is the unique viscosity solution to an obstacle problem for a Hamilton-Jacobi-Bellman equation.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1009.0932.
Date of creation: Sep 2010
Date of revision: Jan 2013
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- Erhan Bayraktar & Virginia Young, 2011.
"Proving regularity of the minimal probability of ruin via a game of stopping and control,"
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