The Controller-and-Stopper Game for a Linear Diffusion
Karatzas, Ioannis ; Sudderth, William D.
Ann. Probab., Tome 29 (2001) no. 1, p. 1111-1127 / Harvested from Project Euclid
Consider a process $X(\cdot) = {X(t), 0 \leq t < \infty}$ with values in the interval $I = (0, 1)$, absorption at the boundary points of $I$, and dynamics $$dX(t) = \beta(t)dt + \sigma(t)dW(t),\quad X(0) = x.$$ ¶ The values $(\beta(t), \sigma(t))$ are selected by a controller from a subset of $\Re \times (0, \infty)$ that depends on the current position $X(t)$, for every $t \geq 0$. At any stopping rule $\tau$ of his choice, a second player, called a stopper, can halt the evolution of the process $X(\cdot)$, upon which he receives from the controller the amount $e^{-\alpha\tau}u(X(\tau))$; here $\alpha \epsilon [0, \infty)$ is a discount factor, and $u: [0, 1] \to \Re$ is a continuous “reward function.” Under appropriate conditions on this function and on the controller’s set of choices, it is shown that the two players have a saddlepoint of “optimal strategies.” These can be described fairly explicitly by reduction to a suitable problem of optimal stopping, whose maximal expected reward V coincides with the value of the game, $$V = \sup_{\tau} \inf_{X(\cdot)} \mathbf{E}[e^{-\alpha\tau}u(X(\tau))] = \inf_{X(\cdot)} \sup_{\tau} \mathbf{E}[e^{-\alpha\tau}u(X(\tau))].$$
Publié le : 2001-07-14
Classification:  Stochastic game,  optimal stopping,  one-dimensional diffusions,  generalized Itô rule,  local time,  excessive functions,  93E20,  60G40,  62L15,  60D60
@article{1015345598,
     author = {Karatzas, Ioannis and Sudderth, William D.},
     title = {The Controller-and-Stopper Game for a Linear Diffusion},
     journal = {Ann. Probab.},
     volume = {29},
     number = {1},
     year = {2001},
     pages = { 1111-1127},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1015345598}
}
Karatzas, Ioannis; Sudderth, William D. The Controller-and-Stopper Game for a Linear Diffusion. Ann. Probab., Tome 29 (2001) no. 1, pp.  1111-1127. http://gdmltest.u-ga.fr/item/1015345598/