Game approach to the optimal stopping problem†

DOI10.1080/17442500500219885zbMath1084.60027OpenAlexW1964913344MaRDI QIDQ5711150

Ingrid-Mona Zamfirescu, Ioannis Karatzas

Publication date: 9 December 2005

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500500219885

zbMATH Keywords

martingalesstochastic control and gamesuniversal Doob-Meyer decomposition

Mathematics Subject Classification ID

Noncooperative games (91A10) Cooperative games (91A12) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (9)

Optimal stopping with random maturity under nonlinear expectations ⋮ Nash Equilibria for Game Contingent Claims with Utility-Based Hedging ⋮ Zero-sum stochastic differential game in finite horizon involving impulse controls ⋮ Optimal stopping with expectation constraints ⋮ Minimax theorems for American options without time-consistency ⋮ Optimal arbitrage under model uncertainty ⋮ Exact and approximate Nash equilibria in discounted Markov stopping games with terminal redemption ⋮ Optimal stopping for non-linear expectations. I ⋮ Optimal stopping under adverse nonlinear expectation and related games

Cites Work

• Unnamed Item
• Backward stochastic differential equations with reflection and Dynkin games
• Hedging contingent claims with constrained portfolios
• Optional decompositions under constraints
• Hedging American contingent claims with constrained portfolios
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Monte Carlo valuation of American options

This page was built for publication: Game approach to the optimal stopping problem†