A zero-sum game between a singular stochastic controller and a discretionary stopper

DOI10.1214/13-AAP986zbMath1307.91019arXiv1212.2074OpenAlexW3101442317MaRDI QIDQ2258524

Mihail Zervos, Robert Samuel Simon, Daniel Hernández-Hernández

Publication date: 26 February 2015

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1212.2074

zbMATH Keywords

variational inequalitiesoptimal stoppingzero-sum gamessingular stochastic control

Mathematics Subject Classification ID

Variational inequalities (49J40) Differential games and control (49N70) 2-person games (91A05) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Existence of optimal solutions to problems involving randomness (49J55)

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