Erhan Bayraktar (University of Michigan)-On the Multi-Dimensional Controller and Stopper Games
Mathematics - Colloquium
Friday, December 7, 2012
11:00 AM-12:00 PM
ABSTRACT: We consider a zero-sum stochastic differential controller-and-stopper game in which the state process is a controlled diffusion evolving in a multi-dimensional Euclidean space. In this game, the controller affects both the drift and the volatility terms of the state process. Under appropriate conditions, we show that the game has a value and the value function is the unique viscosity solution to an obstacle problem for a Hamilton-Jacobi-Bellman equation.
Joint work with Yu-Jui Huang.
Suggested Audiences: Adult, College
Last Modified: November 29, 2012 at 12:44 PM