Dynkin Games via Dirichlet Forms and Singular Control of One-Dimensional Diffusions

DOI10.1137/S0363012901387136zbMATH Open1028.31006MaRDI QIDQ4785654FDOQ4785654

Authors: Masatoshi Fukushima, Michael Taksar 

Publication date: 5 January 2003

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

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• scientific article; zbMATH DE number 1642337

zbMATH Keywords

Dynkin gamefree boundary problemsingular stochastic controlDirichlet boundary

Mathematics Subject Classification ID

Dirichlet forms (31C25) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Local time and additive functionals (60J55) Stochastic games, stochastic differential games (91A15) Optimal stochastic control (93E20)

Cited In (9)

• Nonzero-sum games of optimal stopping for Markov processes
• A class of solvable stopping games
• Hedging of game options in discrete markets with transaction costs
• Dynkin's games and Israeli options
• Minimum guaranteed payments and costly cancellation rights: a stopping game perspective
• Title not available (Why is that?)
• Variational inequalities and Dynkin games for Markov processes associated with semi-Dirichlet forms
• Bounded Variation Singular Stochastic Control and Dynkin Game
• A multidimensional stochastic singular control problem via Dynkin game and Dirichlet form

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