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Dynkin Games with Poisson Random Intervention Times - MaRDI portal

Dynkin Games with Poisson Random Intervention Times (Q5232251)

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scientific article; zbMATH DE number 7100209
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English
Dynkin Games with Poisson Random Intervention Times
scientific article; zbMATH DE number 7100209

    Statements

    title
    Dynkin Games with Poisson Random Intervention Times (English)
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    author
    Gechun Liang
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    Haodong Sun
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    publication date
    30 August 2019
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    zbMATH Keywords
    constrained Dynkin game
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    penalized BSDE
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    optimal stopping strategy
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    replication strategy
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    convertible bond
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    cites work
    Q5580119
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    Q2772020
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    Game options
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    Q4114574
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    Identifiers

    DOI
    10.1137/18M1175720;
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    Mathematics Subject Classification ID
    91A15
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    91A55
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    91A05
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    91G20
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    60H10
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    60G40
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    zbMATH DE Number
    7100209
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    arXiv ID
    1803.00329
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