English

Zero-sum stopper vs. singular-controller games with constrained control directions

Optimization and Control 2024-02-02 v2 Probability Mathematical Finance

Abstract

We consider a class of zero-sum stopper vs. singular-controller games in which the controller can only act on a subset d0<dd_0<d of the dd coordinates of a controlled diffusion. Due to the constraint on the control directions these games fall outside the framework of recently studied variational methods. In this paper we develop an approximation procedure, based on L1L^1-stability estimates for the controlled diffusion process and almost sure convergence of suitable stopping times. That allows us to prove existence of the game's value and to obtain an optimal strategy for the stopper, under continuity and growth conditions on the payoff functions. This class of games is a natural extension of (single-agent) singular control problems, studied in the literature, with similar constraints on the admissible controls.

Keywords

Cite

@article{arxiv.2306.05113,
  title  = {Zero-sum stopper vs. singular-controller games with constrained control directions},
  author = {Andrea Bovo and Tiziano De Angelis and Jan Palczewski},
  journal= {arXiv preprint arXiv:2306.05113},
  year   = {2024}
}

Comments

29 pages

R2 v1 2026-06-28T10:59:52.742Z