Martingale approach to stochastic differential games of control and stopping

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dc.creatorKaratzas, Ioannis
dc.creatorZamfirescu, Ingrid-Mona
dc.date2008-08-27
dc.date.accessioned2026-07-07T09:58:40Z
dc.date.available2026-07-07T09:58:40Z
dc.descriptionWe develop a martingale approach for studying continuous-time stochastic differential games of control and stopping, in a non-Markovian framework and with the control affecting only the drift term of the state-process. Under appropriate conditions, we show that the game has a value and construct a saddle pair of optimal control and stopping strategies. Crucial in this construction is a characterization of saddle pairs in terms of pathwise and martingale properties of suitable quantities.
dc.descriptionPublished in at http://dx.doi.org/10.1214/07-AOP367 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)
dc.identifierhttps://arxiv.org/abs/0808.3656
dc.identifierhttp://arxiv.org/abs/0808.3656
dc.identifierAnnals of Probability 2008, Vol. 36, No. 4, 1495-1527
dc.identifierdoi:10.1214/07-AOP367
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/167803
dc.subjectProbability
dc.subject93E20, 60G40, 91A15 (Primary) 91A25, 60G44 (Secondary)
dc.titleMartingale approach to stochastic differential games of control and stopping
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