Martingale approach to stochastic differential games of control and stopping

DOI10.1214/07-AOP367zbMath1142.93040arXiv0808.3656OpenAlexW2117611656MaRDI QIDQ941305

Ioannis Karatzas, Ingrid-Mona Zamfirescu

Publication date: 4 September 2008

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0808.3656

zbMATH Keywords

controloptimal stoppingmartingalesstochastic maximum principlestochastic gamesDoob-Meyer decompositionsthrifty control strategies

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic games, stochastic differential games (91A15) Dynamic games (91A25) Optimality conditions for problems involving randomness (49K45)

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