Zero-sum stopper versus singular-controller games with constrained control directions

DOI10.1137/23M1579558MaRDI QIDQ6576865zbMATH OpenFDO

Authors Andrea Bovo, Tiziano De Angelis, Jan Palczewski

Publication date 23 July 2024

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

Full work available at URL https://doi.org/10.1137/23M1579558

zbMATH Keywords

optimal stoppingvariational inequalitiesgradient constraintobstacle problemssingular controlconstrained controlszero-sum stochastic gamescontrolled diffusions

Mathematics Subject Classification ID

Noncooperative games (91A10) Variational inequalities (49J40) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Optimal stochastic control (93E20)

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Cited in

(2)

• On the saddle point of a zero-sum stopper vs. singular-controller game
• Stopper vs. singular controller games with degenerate diffusions

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