Electronic Communications in Probability

A Controller And A Stopper Game With Degenerate Variance Control

Ananda Weerasinghe

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Abstract

We consider a zero sum stochastic differential game which involves two players, the controller and the stopper. The stopper selects the stopping rule which halts the game. The controller chooses the diffusion coefficient of the corresponding state process which is allowed to degenerate. At the end of the game, the controller pays the stopper, the amount $ E\int_{0}^{\tau} e^{-\alpha t} C(Z_x(t))dt $, where $Z_x(\cdot)$ represents the state process with initial position $x$ and $\alpha $ is a positive constant. Here $C(\cdot)$ is a reward function where the set $\{x: C(x) > 0\}$ is an open interval which contains the origin. Under some assumptions on the reward function $C(\cdot)$ and the drift coefficient of the state process, we show that this game has a value. Furthermore, this value function is Lipschitz continuous, but it fails to be a $C^1$ function.

Article information

Source
Electron. Commun. Probab., Volume 11 (2006), paper no. 9, 89-99.

Dates
Accepted: 4 July 2006
First available in Project Euclid: 4 June 2016

Permanent link to this document
https://projecteuclid.org/euclid.ecp/1465058852

Digital Object Identifier
doi:10.1214/ECP.v11-1202

Mathematical Reviews number (MathSciNet)
MR2231736

Zentralblatt MATH identifier
1119.91018

Subjects
Primary: 93E20: Optimal stochastic control
Secondary: 60G40: Stopping times; optimal stopping problems; gambling theory [See also 62L15, 91A60]

Keywords
stochastic games optimal stopping degenerate diffusions saddle point

Rights
This work is licensed under aCreative Commons Attribution 3.0 License.

Citation

Weerasinghe, Ananda. A Controller And A Stopper Game With Degenerate Variance Control. Electron. Commun. Probab. 11 (2006), paper no. 9, 89--99. doi:10.1214/ECP.v11-1202. https://projecteuclid.org/euclid.ecp/1465058852


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