On the Multi-Dimensional Controller-and-Stopper Games
SIAM Journal on Control and Optimization (2013), Vol. 51, No. 2, pp. 1263-1297.
35 Pages Posted: 1 Feb 2014
Date Written: January 6, 2013
We consider a zero-sum stochastic differential controller-and-stopper game in which the state process is a controlled diffusion evolving in a multidimensional Euclidean space. In this game, the controller affects both the drift and diffusion terms of the state process, and the diffusion term can be degenerate. 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.
Keywords: controller-stopper games, weak dynamic programming principle, viscosity solutions, robust optimal stopping
JEL Classification: C72, C73
Suggested Citation: Suggested Citation