Stochastic nonzero-sum games: a new connection between singular control and optimal stopping
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- Ferrari, Giorgio, 2018. "On a Class of Singular Stochastic Control Problems for Reflected Diffusions," Center for Mathematical Economics Working Papers 592, Center for Mathematical Economics, Bielefeld University.
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More about this item
Keywordsgames of singular control; games of optimal stopping; Nash equilibrium; onedimensional diffusion; Hamilton-Jacobi-Bellman equation; verification theorem;
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