On the robust Dynkin game

DOI10.1214/16-AAP1243zbMath1371.60071arXiv1506.09184OpenAlexW3124935145MaRDI QIDQ2403140

Song Yao, Erhan Bayraktar

Publication date: 15 September 2017

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

Full work available at URL: https://arxiv.org/abs/1506.09184

zbMATH Keywords

martingale approachnonlinear expectationdynamic programming principleweak stability under pastingcontrol in weak formulationoptimal stopping with random maturityoptimal tripletpath-dependent stochastic differential equations with controlrobust Dynkin game

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic games, stochastic differential games (91A15) Games of timing (91A55)

Related Items (6)

A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria ⋮ Numerical scheme for Dynkin games under model uncertainty ⋮ Optimal stopping with expectation constraints ⋮ Optimal Stopping Under Uncertainty in Drift and Jump Intensity ⋮ Dynkin Games with Poisson Random Intervention Times ⋮ On the controller-stopper problems with controlled jumps

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