Dynkin Games via Dirichlet Forms and Singular Control of One-Dimensional Diffusions

DOI10.1137/S0363012901387136zbMath1028.31006MaRDI QIDQ4785654

Masatoshi Fukushima, Michael I. Taksar

Publication date: 5 January 2003

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

zbMATH Keywords

free boundary problemsingular stochastic controlDynkin gameDirichlet boundary

Mathematics Subject Classification ID

Dirichlet forms (31C25) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Local time and additive functionals (60J55)

Related Items (5)

MINIMUM GUARANTEED PAYMENTS AND COSTLY CANCELLATION RIGHTS: A STOPPING GAME PERSPECTIVE ⋮ A class of solvable stopping games ⋮ Dynkin's games and Israeli options ⋮ Hedging of game options in discrete markets with transaction costs ⋮ Nonzero-sum games of optimal stopping for Markov processes

This page was built for publication: Dynkin Games via Dirichlet Forms and Singular Control of One-Dimensional Diffusions