Arbeitspapier
Bounded Variation Singular Stochastic Control and Associated Dynkin Game
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.
- Sprache
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Englisch
- Erschienen in
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Series: CoFE Discussion Paper ; No. 00/12
- Klassifikation
-
Wirtschaft
- Thema
-
Suchtheorie
Kontrolltheorie
Theorie
Stochastisches Spiel
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Boetius, Frederik
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Konstanz, Center of Finance and Econometrics (CoFE)
- (wo)
-
Konstanz
- (wann)
-
2000
- Handle
- URN
-
urn:nbn:de:bsz:352-opus-4951
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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Objekttyp
- Arbeitspapier
Beteiligte
- Boetius, Frederik
- University of Konstanz, Center of Finance and Econometrics (CoFE)
Entstanden
- 2000
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