On the Multi-Dimensional Controller and Stopper Games

Erhan Bayraktar and Yu-Jui Huang

Papers from arXiv.org

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.

Date: 2010-09, Revised 2013-01
New Economics Papers: this item is included in nep-gth
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