Bounded variation singular stochastic control and associated Dynkin game
Bounded variation singular stochastic control and associated Dynkin game
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2000
Authors
Boetius, Frederik
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CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie; 2000/12
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Abstract
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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510 Mathematics
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backward stochastic differential equation,singular stochastic control,optimal stopping,Dynkin games,adjoint equations,comparison theorem
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BOETIUS, Frederik, 2000. Bounded variation singular stochastic control and associated Dynkin gameBibTex
@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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