On the Multidimensional Controller-and-Stopper Games
نویسندگان
چکیده
منابع مشابه
On the Multi-Dimensional Controller and Stopper Games
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 t...
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ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2013
ISSN: 0363-0129,1095-7138
DOI: 10.1137/110847329