Numerical scheme for Dynkin games under model uncertainty

DOI10.1214/18-EJP198zbMath1415.91037arXiv1707.00033MaRDI QIDQ1663906

Yan Dolinsky, Benjamin Gottesman

Publication date: 24 August 2018

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1707.00033

zbMATH Keywords

model uncertaintyDynkin gamesSkorokhod embeddinggame options

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15)

Related Items

Corrigendum to: ``Second-order reflected backward stochastic differential equations and ``Second-order BSDEs with general reflection and game options under uncertainty

Cites Work

• Unnamed Item
• Unnamed Item
• Reflected backward stochastic differential equations with two barriers and Dynkin games under Knightian uncertainty
• Backward stochastic differential equations with reflection and Dynkin games
• Hedging of game options under model uncertainty in discrete time
• Doubly reflected BSDEs with integrable parameters and related Dynkin games
• Robust superhedging with jumps and diffusion
• Probabilistic interpretation for systems of Isaacs equations with two reflecting barriers
• Properties of game options
• Error estimates for binomial approximations of game options
• Nonlinear variational inequalities and differential games with stopping times
• BSDEs with two reflecting barriers: the general result
• Dynkin's games and Israeli options
• On the robust Dynkin game
• Reflected backward SDEs with two barriers under monotonicity and general increasing conditions
• Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options
• Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski
• Mixed Zero-Sum Stochastic Differential Game and American Game Options
• Pricing Israeli options: a pathwise approach
• Optimal Stopping in Sequential Games With or Without a Constraint of Always Terminating
• Recombining Tree Approximations for Optimal Stopping for Diffusions
• Pricing and hedging derivative securities in markets with uncertain volatilities
• Stochastic Perron’s method and verification without smoothness using viscosity comparison: Obstacle problems and Dynkin games
• GAME CALL OPTIONS REVISITED
• Game options
• Reflected forward-backward SDEs and obstacle problems with boundary conditions