Stochastic Perron’s method and verification without smoothness using viscosity comparison: Obstacle problems and Dynkin games

DOI10.1090/S0002-9939-2014-11860-0zbMath1321.60080arXiv1112.4904MaRDI QIDQ5401378

Mihai Sîrbu, Erhan Bayraktar

Publication date: 13 March 2014

Published in: Proceedings of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1112.4904

zbMATH Keywords

obstacle problemscomparison principleviscosity solutionsDynkin gamesfirst hitting timesstochastic Perron methodnon-smooth verificationstopping regions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Degenerate parabolic equations (35K65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Free boundary problems for PDEs (35R35) Martingales and classical analysis (60G46) Second-order parabolic equations (35K10) Viscosity solutions to PDEs (35D40)

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Stochastic Perron for stochastic target games ⋮ Stochastic Perron for stochastic target problems ⋮ Zero-Sum Stochastic Differential Games Without the Isaacs Condition: Random Rules of Priority and Intermediate Hamiltonians ⋮ Numerical scheme for Dynkin games under model uncertainty ⋮ Optimal entry and consumption under habit formation ⋮ Optimal investment for retail investors ⋮ A zero-sum stochastic differential game with impulses, precommitment, and unrestricted cost functions ⋮ Solvability of the Nonlinear Dirichlet Problem with Integro-differential Operators ⋮ Martingale Optimal Transport with Stopping ⋮ A General Verification Result for Stochastic Impulse Control Problems ⋮ Utility maximisation in a factor model with constant and proportional transaction costs ⋮ Lifetime ruin under high-water mark fees and drift uncertainty ⋮ Verification by stochastic Perron's method in stochastic exit time control problems ⋮ Finite-horizon optimal investment with transaction costs: construction of the optimal strategies ⋮ Two-player zero-sum stochastic differential games with random horizon ⋮ Doubly reflected BSDEs with integrable parameters and related Dynkin games ⋮ Optimal stopping games in models with various information flows ⋮ Minimizing the Discounted Probability of Exponential Parisian Ruin via Reinsurance ⋮ Robust Feedback Switching Control: Dynamic Programming and Viscosity Solutions ⋮ Contract Theory in a VUCA World ⋮ On the controller-stopper problems with controlled jumps ⋮ Asymptotic Perron's Method and Simple Markov Strategies in Stochastic Games and Control ⋮ Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit

Cites Work

• Multidimensional diffusion processes.
• Stochastic Perron’s method and verification without smoothness using viscosity comparison: The linear case
• Optimal Stopping Games and Nash Equilibrium
• On degenerate elliptic-parabolic operators of second order and their associated diffusions
• Optimal Stopping Rules

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