Zero-sum stopper vs. singular-controller games with constrained control directions
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arXiv
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| Format: | Preprint |
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2023
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| _version_ | 1866914663046840320 |
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| author | Bovo, Andrea De Angelis, Tiziano Palczewski, Jan |
| author_facet | Bovo, Andrea De Angelis, Tiziano Palczewski, Jan |
| contents | We consider a class of zero-sum stopper vs. singular-controller games in which the controller can only act on a subset $d_0<d$ of the $d$ 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 $L^1$-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. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2306_05113 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Zero-sum stopper vs. singular-controller games with constrained control directions Bovo, Andrea De Angelis, Tiziano Palczewski, Jan Optimization and Control Probability Mathematical Finance 91A05, 91A15, 60G40, 93E20, 49J40 We consider a class of zero-sum stopper vs. singular-controller games in which the controller can only act on a subset $d_0<d$ of the $d$ 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 $L^1$-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. |
| title | Zero-sum stopper vs. singular-controller games with constrained control directions |
| topic | Optimization and Control Probability Mathematical Finance 91A05, 91A15, 60G40, 93E20, 49J40 |
| url | https://arxiv.org/abs/2306.05113 |