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Adjoint equation 1 Backward stochastic differential equation 1 Comparison theorem 1 Control theory 1 Dynkin games 1 Kontrolltheorie 1 Optimal stopping 1 Search theory 1 Singular stochastic control 1 Stochastic game 1 Stochastisches Spiel 1 Suchtheorie 1 Theorie 1 Theory 1
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Free 1
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Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
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English 1
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Boetius, Frederik 1
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CoFE discussion papers 1
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Bounded variation singular stochastic control and associated Dynkin game
Boetius, Frederik - 2000
We consider an optimal 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 saddle point for the game. This extends earlier results to the case of bounded variation...
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