On the value of non-Markovian Dynkin games with partial and asymmetric information

DOI10.1214/21-AAP1721zbMath1498.91082arXiv2007.10643OpenAlexW3044290168MaRDI QIDQ2170360

Tiziano De Angelis, Jan Palczewski, Nikita Merkulov

Publication date: 5 September 2022

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2007.10643

zbMATH Keywords

optimal stopping asymmetric information partial information regular processes non-Markovian Dynkin games predictable-jump processes randomised stopping times

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Games of timing (91A55) Games with incomplete information, Bayesian games (91A27)

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