On the Multidimensional Controller-and-Stopper Games

DOI10.1137/110847329zbMath1268.49045arXiv1009.0932OpenAlexW3125153217MaRDI QIDQ2840137

Yu-Jui Huang, Erhan Bayraktar

Publication date: 17 July 2013

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

Full work available at URL: https://arxiv.org/abs/1009.0932

zbMATH Keywords

Hamilton-Jacobi-Bellman equationviscosity solutionobstacle problemcontrolled diffusionweak dynamic programming principlerobust optimal stoppingstochastic differential controller-stopper games

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Diffusion processes (60J60) Stochastic games, stochastic differential games (91A15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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