Dynkin Games via Dirichlet Forms and Singular Control of One-Dimensional Diffusions

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Veröffentlicht in:SIAM Journal on Control and Optimization Jg. 41; H. 3; S. 682 - 699
Hauptverfasser: Fukushima, Masatoshi, Taksar, Michael
Format: Journal Article
Sprache:Englisch
Veröffentlicht: Philadelphia, PA Society for Industrial & Applied Mathematics (SIAM) 01.01.2002
Society for Industrial and Applied Mathematics
Schlagworte:
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
Singular control
Singularity
Costs
Free boundary
Probabilistic approach
Optimal stopping
Dirichlet form
One dimensional model
Zero sum game
Stochastic control
Free boundary problem
ISSN:0363-0129, 1095-7138
Online-Zugang:Volltext
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ISSN:0363-0129
1095-7138
DOI:10.1137/s0363012901387136