Martingale Approach to Stochastic Differential Games of Control and Stopping
نویسنده
چکیده
We develop a martingale approach for studying continuous-time stochastic differential games of control and stopping, in a non-Markovian framework and with the control affecting only the drift term of the state-process. Under appropriate conditions, we show that the game has a value and construct a saddle pair of optimal control and stopping strategies. Crucial in this construction is a characterization of saddle pairs in terms of pathwise and martingale properties of suitable quantities.
منابع مشابه
MARTINGALE APPROACH TO STOCHASTIC DIFFERENTIAL GAMES OF CONTROL AND STOPPING∗ By Ioannis Karatzas and Ingrid-Mona Zamfirescu Columbia University and Baruch College, CUNY
We develop a martingale approach for studying continuous-time stochastic differential games of control and stopping, in a non-Markovian framework and with the control affecting only the drift term of the state-process. Under appropriate conditions, we show that the game has a value and construct a saddle pair of optimal control and stopping strategies. Crucial in this construction is a characte...
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تاریخ انتشار 2006