Solving finite time horizon Dynkin games by optimal switching

DOI10.1017/JPR.2016.57zbMath1355.91016arXiv1411.4438OpenAlexW3103140784MaRDI QIDQ2956502

Randall Martyr

Publication date: 17 January 2017

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

Full work available at URL: https://arxiv.org/abs/1411.4438

zbMATH Keywords

optimal stoppingoptimal stopping gameNash equilibriumsaddle pointoptimal switchingSnell envelope

Mathematics Subject Classification ID

2-person games (91A05) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Derivative securities (option pricing, hedging, etc.) (91G20) Probabilistic games; gambling (91A60) Games of timing (91A55)

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A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time ⋮ Finite-Horizon Optimal Multiple Switching with Signed Switching Costs

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