Bounded Variation Singular Stochastic Control and Associated Dynkin Game

Frederik Boetius

No 00/12, CoFE Discussion Papers from University of Konstanz, Center of Finance and Econometrics (CoFE)

Abstract: We consider an optimal control problem for a one-dimensional Itô diffusion and a stochastic game of optimal stopping associated with it. Their value functions satisfy ... and an optimal control defines a saddle point for the game. This extends earlier results to the case of bounded variation control and general nonadditive cost functionals in the form of a controlled FBSDE. Our approach uses probabilistic methods such as comparison theorems, and a pathwise construction of policies.

Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:cofedp:0012

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