On the Multidimensional Controller-and-Stopper Games Journal Article

Overview

abstract

• We consider a zero-sum stochastic differential controller-and-stopper game in which the state process is a controlled diffusion evolving in a multidimensional Euclidean space. In this game, the controller affects both the drift and diffusion terms of the state process, and the diffusion term can be degenerate. 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.

CU Boulder Authors

• Huang, Yu-Jui

publication date

• January 1, 2013

has restriction

• closed

Date in CU Experts

• January 25, 2017 8:51 AM

Full Author List

• Bayraktar E; Huang Y-J

author count

• 2

published in

• SIAM Journal of Control and Optimization  Journal

Other Profiles

International Standard Serial Number (ISSN)

• 0363-0129

Electronic International Standard Serial Number (EISSN)

• 1095-7138

Digital Object Identifier (DOI)

• https://doi.org/10.1137/110847329

Additional Document Info

start page

• 1263

end page

• 1297

volume

• 51

issue

• 2