On the Multi-Dimensional Controller and Stopper Games
نویسندگان
چکیده
We 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. Available at http://arxiv.org/abs/1009.0932. Joint work with Yu-Jui Huang. On the Multi-Dimensional Controller and Stopper Games
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ورودعنوان ژورنال:
- SIAM J. Control and Optimization
دوره 51 شماره
صفحات -
تاریخ انتشار 2013