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On the multidimensional controller-and-stopper games. (English) Zbl 1268.49045

Summary: We consider a zero-sum stochastic differential controller-and-stopper game in which the state process is a controlled diffusion evolving in a multidimensional Euclidean space. In this game, the controller affects both the drift and diffusion terms of the state process, and the diffusion term can be degenerate. Under appropriate conditions, we show that the game has a value and the value function is the unique viscosity solution to an obstacle problem for a Hamilton-Jacobi-Bellman equation.

MSC:

49N70 Differential games and control
49L25 Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games
49L20 Dynamic programming in optimal control and differential games
91A15 Stochastic games, stochastic differential games
91A23 Differential games (aspects of game theory)
60J60 Diffusion processes