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A zero-sum game between a singular stochastic controller and a discretionary stopper
14 references·0 citing·46 second hop
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this work references cited by second hop

References

  • 1990Stochastic Integration and Differential Equations1,195 cited
  • 2012Time-Consistent Portfolio Management138 cited
  • 2000Reflected BSDEs and mixed game problem136 cited
  • 1983A class of singular stochastic control problems128 cited
  • 2006Mixed Zero-Sum Stochastic Differential Game and American Game Options109 cited
  • 2008Martingale approach to stochastic differential games of control and stopping72 cited
  • 2013On the Multidimensional Controller-and-Stopper Games62 cited
  • 2000A Barrier Option of American Type61 cited
  • 1994A Problem of Singular Stochastic Control with Discretionary Stopping60 cited
  • 1987Singular control problems in bounded intervals56 cited
  • 2001The Controller-and-Stopper Game for a Linear Diffusion50 cited
  • 2011Proving regularity of the minimal probability of ruin via a game of stopping and control38 cited
  • 2013On the optimal stopping of a one-dimensional diffusion36 cited
  • 1996Optimal target zones: How an exchange rate mechanism can improve upon discretion30 cited

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