A zero-sum Poisson stopping game with asymmetric signal rates
From MaRDI portal
Publication:2694463
DOI10.1007/s00245-022-09945-1OpenAlexW4360980551MaRDI QIDQ2694463
Publication date: 3 April 2023
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-022-09945-1
Dynamic programming in optimal control and differential games (49L20) 2-person games (91A05) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Games of timing (91A55)
Cites Work
- Unnamed Item
- Unnamed Item
- Optimal switching at Poisson random intervention times
- On the value of optimal stopping games
- Properties of game options
- On a randomized strategy in Neveu's stopping problem
- Reward functionals, salvage values, and optimal stopping
- Some calculations for Israeli options
- Dynkin's games and Israeli options
- The shape of the value function under Poisson optimal stopping
- Constrained optimal stopping, liquidity and effort
- A class of solvable stopping games
- Optimal stopping with information constraint
- On the optimal stopping problem for one-dimensional diffusions.
- On Some Optimal Stopping Problems with Constraint
- MINIMUM GUARANTEED PAYMENTS AND COSTLY CANCELLATION RIGHTS: A STOPPING GAME PERSPECTIVE
- Stopping at the maximum of geometric Brownian motion when signals are received
- CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS
- Perpetual convertible bonds with credit risk
- Optimal Stopping Games for Markov Processes
- Optimal stopping with random intervention times
- PERPETUAL CANCELLABLE AMERICAN CALL OPTION
- Dynkin Games with Poisson Random Intervention Times
- A Two‐Person Game for Pricing Convertible Bonds
- A Dynkin game with asymmetric information
- Optimal Stopping in Games with Continuous Time
This page was built for publication: A zero-sum Poisson stopping game with asymmetric signal rates
