Dynkin games and martingale methods

DOI10.1080/17442508408833319zbMath0569.60050OpenAlexW1973434578MaRDI QIDQ3685772

Hiroaki Morimoto

Publication date: 1984

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508408833319

zbMATH Keywords

stopping timesexistence of a saddle-pointnon-Markov stochastic games

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic games, stochastic differential games (91A15)

Related Items (17)

A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria ⋮ Non-zero-sum discrete parameter stochastic games with stopping times ⋮ Non zero-sum stopping games of symmetric Markov processes ⋮ Optimal switching for alternating processes ⋮ BSDE Approach for Dynkin Game and American Game Option ⋮ Continuous-time zero-sum stochastic game with stopping and control ⋮ Perturbation methods in optimal stopping with average cost criterion ⋮ Dynkin game under \(g\)-expectation in continuous time ⋮ Dynkin's games and Israeli options ⋮ On a decomposition result in a Dynkin stopping game ⋮ Backward stochastic differential equations with reflection and Dynkin games ⋮ Zero-sum stochastic games with stopping and control ⋮ Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games ⋮ A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis ⋮ Dynkin Games with Poisson Random Intervention Times ⋮ On average cost stopping time problems ⋮ On a variational inequality associated with a stopping game combined with a control

Cites Work

• Unnamed Item
• Zero-sum Markov games with stopping and impulsive strategies
• Nonlinear variational inequalities and differential games with stopping times
• Optimal stopping and a martingale approach to the penalty method
• Stochastic games and variational inequalities
• On a discretization procedure for the stopping time problem
• Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski
• Strong envelopes of stochastic processes and a penalty method^†
• Sur un problème de dynkin
• [https://portal.mardi4nfdi.de/wiki/Publication:4162232 Contr�le de processus alternants et applications]

This page was built for publication: Dynkin games and martingale methods