Optimal stopping games in models with various information flows
DOI10.1080/07362994.2020.1871013zbMath1490.60098OpenAlexW3121893510MaRDI QIDQ3383685
Pavel V. Gapeev, Neofytos Rodosthenous
Publication date: 16 December 2021
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: http://eprints.lse.ac.uk/108165/1/Games_7R_20_05_30.pdf
optimal stopping gamecontinuous-time Markov chainfree-boundary problemchange-of-variable formula with local time on surfacesfiltering estimate (Wonham filter)full and partial informationperpetual convertible bondstochastic dividend rate
Inference from stochastic processes and prediction (62M20) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Continuous-time Markov processes on discrete state spaces (60J27) Boundary value problems for functional-differential equations (34K10)
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