Dynkin Games via Dirichlet Forms and Singular Control of One-Dimensional Diffusions
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| Published in: | SIAM Journal on Control and Optimization Vol. 41; no. 3; pp. 682 - 699 |
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| Main Authors: | , |
| Format: | Journal Article |
| Language: | English |
| Published: |
Philadelphia, PA
Society for Industrial & Applied Mathematics (SIAM)
01.01.2002
Society for Industrial and Applied Mathematics |
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| ISSN: | 0363-0129, 1095-7138 |
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| Author | Masatoshi Fukushima Michael Taksar |
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| Cites_doi | 10.1007/PL00013527 10.1287/moor.10.1.63 10.1515/9783110889741 10.1287/moor.8.3.439 10.1214/EJP.v4-55 10.32917/hmj/1206135203 10.2969/jmsj/03020303 |
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| Issue | 3 |
| Keywords | Singular control Singularity Costs Free boundary Probabilistic approach Optimal stopping Dirichlet form One dimensional model Zero sum game Stochastic control Free boundary problem |
| Language | English |
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| PublicationTitle | SIAM Journal on Control and Optimization |
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| References | R4 R5 R7 Ikeda Nobuyuki (R8) 1989 Bensoussan Alain (R1) 1982 Guse n‐Zade S. (R6) 1969; 14 Zabczyk J. (R18) 1984; 4 Dynkin E. (R2) 1969; 185 R12 R14 R16 Fleming Wendell (R3) 1993 Tanaka Hiroshi (R17) 1979; 9 Stampacchia Guido (R15) 1964; 258 |
| References_xml | – volume: 14 start-page: 732 year: 1969 ident: R6 publication-title: Teor. Verojatnost. i Primenen. – volume: 4 start-page: 185 year: 1984 ident: R18 publication-title: Probab. Math. Statist. – ident: R12 doi: 10.1007/PL00013527 – ident: R16 doi: 10.1287/moor.10.1.63 – ident: R5 doi: 10.1515/9783110889741 – ident: R7 doi: 10.1287/moor.8.3.439 – volume-title: Stochastic differential equations and diffusion processes year: 1989 ident: R8 – volume: 185 start-page: 16 year: 1969 ident: R2 publication-title: Dokl. Akad. Nauk SSSR – volume-title: Controlled Markov processes and viscosity solutions year: 1993 ident: R3 – volume-title: Applications of variational inequalities in stochastic control year: 1982 ident: R1 – ident: R4 doi: 10.1214/EJP.v4-55 – volume: 9 start-page: 163 year: 1979 ident: R17 publication-title: Hiroshima Math. J. doi: 10.32917/hmj/1206135203 – volume: 258 start-page: 4413 year: 1964 ident: R15 publication-title: C. R. Acad. Sci. Paris – ident: R14 doi: 10.2969/jmsj/03020303 |
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| SubjectTerms | Applied sciences Computer science; control theory; systems Control system analysis Control theory. Systems Exact sciences and technology Mathematics Miscellaneous Numerical analysis Numerical analysis. Scientific computation Numerical methods in mathematical programming, optimization and calculus of variations Numerical methods in optimization and calculus of variations Operational research and scientific management Operational research. Management science Optimization. Search problems Sciences and techniques of general use |
| Title | Dynkin Games via Dirichlet Forms and Singular Control of One-Dimensional Diffusions |
| URI | https://cir.nii.ac.jp/crid/1870302168164469888 |
| Volume | 41 |
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