Bounded variation singular stochastic control and associated Dynkin game

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2000
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Boetius, Frederik
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We consider an optional control problem for a one dimensional Itô diffusion and a stochastic game of optimal stopping associated with it. Their value functions satisfy .... and an optimal control defines a sadddle point for the game. This extends earlier results to the case of bounded variation control and general nonadditive cost functionals in the form of a controlled FBSDE. Our approach uses probabilistic methods such as comparison theorems, and a pathwise construction of policies.

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Fachgebiet (DDC)
510 Mathematik
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backward stochastic differential equation, singular stochastic control, optimal stopping, Dynkin games, adjoint equations, comparison theorem
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ISO 690BOETIUS, Frederik, 2000. Bounded variation singular stochastic control and associated Dynkin game
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@techreport{Boetius2000Bound-605,
  year={2000},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={Bounded variation singular stochastic control and associated Dynkin game},
  number={2000/12},
  author={Boetius, Frederik}
}
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