On the multidimensional controller-and-stopper games
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controlled diffusionHamilton-Jacobi-Bellman equationobstacle problemrobust optimal stoppingstochastic differential controller-stopper gamesviscosity solutionweak dynamic programming principle
Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Differential games and control (49N70) Diffusion processes (60J60) Stochastic games, stochastic differential games (91A15) Differential games (aspects of game theory) (91A23)
Abstract: We consider a zero-sum stochastic differential controller-and-stopper game in which the state process is a controlled diffusion evolving in a multi-dimensional Euclidean space. In this game, the controller affects both the drift and the volatility terms of the state process. Under appropriate conditions, we show that the game has a value and the value function is the unique viscosity solution to an obstacle problem for a Hamilton-Jacobi-Bellman equation.
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