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Finite Horizon Time Inhomogeneous Singular Control Problem of One-dimensional Diffusion via Dynkin Game
Yipeng Yang
The Hamilton-Jacobi-Bellman equation (HJB) associated with the time inhomogeneous singular control problem is a parabolic partial differential equation, and the existence of a clas…
Refined Solutions of Time Inhomogeneous Optimal Stopping Games via Dirichlet Form
Yipeng Yang
The properties of value functions of time inhomogeneous optimal stopping problem and zero-sum game (Dynkin game) are studied through time dependent Dirichlet form. Under the absolu…
A Correction to "Dynkin Games Via Dirichlet Forms and Singular Control of One-Dimensional Diffusion"
Yipeng Yang
In the paper "Dynkin Games Via Dirichlet Forms and Singular Control of One-Dimensional Diffusion", the authors tried to show the existences of a smooth value function and an optima…
Multi-dimensional Stochastic Singular Control Via Dynkin Game and Dirichlet Form
Yipeng Yang
The traditional difficulty about stochastic singular control is to characterize the regularities of the value function and the optimal control policy. In this paper, a multi-dimens…