On One-Sided Stochastic Games and Their Applications to Finance

DOI10.1080/15326349.2011.614189zbMath1236.91024OpenAlexW2056418234MaRDI QIDQ5389044

Jewgeni H. Dshalalow, Randy Robinson

Publication date: 24 April 2012

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349.2011.614189

zbMATH Keywords

stock marketmarked point processstochastic gamesfirst passage timeexit timecompound Poisson processfluctuation theoryruin timestochastic financerandom walk analysis

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Stochastic games, stochastic differential games (91A15) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items

Discrete versus continuous operational calculus in antagonistic stochastic games, On One-Sided Stochastic Games and Their Applications to Finance

Cites Work

• Unnamed Item
• Layers of noncooperative games
• On noncooperative hybrid stochastic games
• Non-cooperative stochastic dominance games
• Perpetual options and Canadization through fluctuation theory
• On fluctuations of a multivariate random walk with some applications to stock options trading and hedging
• Antagonistic game with interval payoff functions
• Mathematical simulation of a dynamic game in the enterprise competition problem
• Fluctuations of Recurrent Processes and Their Applications to the Stock Market
• On One-Sided Stochastic Games and Their Applications to Finance