Download this PDF file Fullscreen Fullscreen Off
References
- Fleming, W. H.; Souganidis, P. E. On the existence of value functions of two-player, zero-sum stochastic Indiana Univ. Math. J. 38 (1989), no. 2, 293--314. MR0997385 (90e:93089)
- Friedman, Avner. Stochastic differential equations and applications. Vol. 2. York-London, 1976. xiii+pp. 229--528. MR0494491 (58 #13350b)
- Ikeda, Nobuyuki; Watanabe, Shinzo. Stochastic differential equations and diffusion processes. North-Holland Mathematical Library, 24. North-Holland Publishing Co., Amsterdam; Kodansha, Ltd., Tokyo, 1989. xvi+555 pp. ISBN: 0-444-87378-3 MR1011252 (90m:60069)
- Karatzas, Ioannis; Sudderth, William D. The controller-and-stopper game for a linear diffusion. Ann. Probab. 29 (2001), no. 3, 1111--1127. MR1872738 (2003b:60057)
- Maitra, Ashok P.; Sudderth, William D. The gambler and the stopper. 191--208, IMS Lecture Notes Monogr. Ser., 30, Inst. Math. Statist., Hayward, CA, 1996. MR1481781 (99a:90257)
- Ocone, Daniel; Weerasinghe, Ananda. Degenerate variance control of a one-dimensional diffusion. SIAM J. Control Optim. 39 (2000), no. 1, 1--24 (electronic). MR1780906 (2001j:93111)
- Ocone, Daniel; Weerasinghe, Ananda. Degenerate variance control in the one-dimensional stationary Electron. J. Probab. 8 (2003), no. 24, 27 pp. (electronic). MR2041825 (2005c:93109)
- Protter, Murray H.; Weinberger, Hans F. Maximum principles in differential equations. Springer-Verlag, New York, 1984. x+261 pp. ISBN: 0-387-96068-6 MR0762825 (86f:35034)

This work is licensed under a Creative Commons Attribution 3.0 License.