Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/85241
Authors: 
Boetius, Frederik
Year of Publication: 
2000
Series/Report no.: 
CoFE Discussion Paper 00/12
Abstract: 
We consider an optimal control problem for a one-dimensional Itô diffusion and a stochastic game of optimal stopping associated with it. Their value functions satisfy ... and an optimal control defines a saddle point for the game. This extends earlier results to the case of bounded variation control and general nonadditive cost functionals in the form of a controlled FBSDE. Our approach uses probabilistic methods such as comparison theorems, and a pathwise construction of policies.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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