Ioannis Karatzas
Some Explicitly Solvable Games of Control and Stopping
Some Explicitly Solvable Games of Control and Stopping
Problems of stochastic control or of optimal stopping that admit explicit solutions, are the exception rather than the rule. When it comes to stochastic games that involve elements of both control and stopping, such explicit solutions become a true rarity. We present a number of such games (cooperative, non-cooperative, zero sum, non-zero-sum) that, under specific structural assumptions, do admit explicit solutions — which we then describe in detail. We pose also a number of open questions.
(Joint work with William D. SUDDERTH.)