Connections between Bounded-variation Control and Dynkin Games
نویسندگان
چکیده
A general result is obtained for the existence of saddle-point in a stochastic game of timing, by exploiting its connection with a bounded-variation control problem. Weak compactness arguments prove the existence of an optimal process for the control problem. It is shown that this optimal process generates a pair of stopping times that constitute a saddle-point for the game, using the method of comparing costs at nearby points by switching paths at appropriate random times.
منابع مشابه
Connections between Singular Control and Optimal Switching
This paper builds a new theoretical connection between singular control of finite variation and optimal switching problems. This correspondence provides a novel method for solving high-dimensional singular control problems, and enables us to extend the theory of reversible investment: sufficient conditions are derived for the existence of optimal controls and for the regularity of value functio...
متن کاملSolving Singular Control from Optimal Switching
This report summarizes some of our recent work (Guo and Tomecek (2008b,a)) on a new theoretical connection between singular control of finite variation and optimal switching problems. This correspondence not only provides a novel method for analyzing multi-dimensional singular control problems, but also builds links among singular controls, Dynkin games, and sequential optimal stopping problems.
متن کاملDynkin games with heterogeneous beliefs
We study zero-sum optimal stopping games (Dynkin games) between two players who disagree about the underlying model. In a Markovian setting, a verification result is established showing that if a pair of functions can be found that satisfies some natural conditions then a Nash equilibrium of stopping times is obtained, with the given functions as the corresponding value functions. In general, h...
متن کاملOn the generalization of Trapezoid Inequality for functions of two variables with bounded variation and applications
In this paper, a generalization of trapezoid inequality for functions of two independent variables with bounded variation and some applications are given.
متن کاملA companion of Ostrowski's inequality for functions of bounded variation and applications
A companion of Ostrowski's inequality for functions of bounded variation and applications are given.
متن کامل