Finite-Time Horizon, Stopper vs. Singular-Controller Games on the Half-Line
研究了一维扩散过程在有限时间区间上的两人零和停止者与奇异控制者博弈，证明了值函数的存在性，并给出了停止者的最优策略。
We prove the existence of a value for two-player zero-sum stopper versus singular-controller games on a finite-time horizon when the underlying dynamics are one-dimensional, diffusive and bound to evolve in [Formula: see text]. We show that the value is the maximal solution of a variational inequality with both obstacle and gradient constraint and satisfying a Dirichlet boundary condition at [Formula: see text]. Moreover, we obtain an optimal strategy for the stopper. In order to achieve our goals, we rely on new probabilistic methods, yielding gradient bounds and equicontinuity for the solutions of penalised partial differential equations that approximate the variational inequality. Funding: Both authors received partial financial support from the European Union (NextGenerationEU) PRIN2022 [Grant 2022BEMMLZ; CUP: D53D23005780006]. T. De Angelis also received partial financial support from PRIN-PNRR2022 [Grant P20224TM7Z; CUP: D53D23018780001].