A stochastic difference game is considered in which a player wants to minimize the time spent by a controlled one-dimensional symmetric random walk {𝑋𝑛,𝑛=0,1,…} in the continuation region 𝐶:={1,2,…}, and the second player seeks to maximize the survival time in C. The process...

Optimal control of dynamic econometric models has a wide variety of applications including economic policy relevant issues. There are several algorithms extending the basic case of a linear-quadratic optimization and taking nonlinearity and stochastics into account, but being still limited in a...