Dynkin Games with Poisson Random Intervention Times
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Publication:5232251
DOI10.1137/18M1175720;zbMath1426.91027arXiv1803.00329MaRDI QIDQ5232251
Publication date: 30 August 2019
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1803.00329
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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) Games of timing (91A55)
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