Variational Inequalities on Unbounded Domains for Zero-Sum Singular Controller vs. Stopper Games
Variational Inequalities on Unbounded Domains for Zero-Sum Singular Controller vs. Stopper Games
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Publisher
Linthicum: INFORMS
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Language
English
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Publisher
Linthicum: INFORMS
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Scope and Contents
Contents
We study a class of zero-sum games between a singular controller and a stopper over a finite-time horizon. The underlying process is a multidimensional (locally nondegenerate) controlled stochastic differential equation (SDE) evolving in an unbounded domain. We prove that such games admit a value and provide an optimal strategy for the stopper. The...
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Full title
Variational Inequalities on Unbounded Domains for Zero-Sum Singular Controller vs. Stopper Games
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TN_cdi_proquest_journals_3189955623
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_3189955623
Other Identifiers
ISSN
0364-765X
E-ISSN
1526-5471
DOI
10.1287/moor.2023.0029
