Dynkin games in a general framework

DOI10.1080/17442508.2013.778860zbMath1298.60050arXiv1202.1930OpenAlexW2036864623MaRDI QIDQ5891431

Marie-Claire Quenez, Magdalena Kobylanski, Marc Roger de Campagnolle

Publication date: 14 August 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1202.1930

zbMATH Keywords

optimal stoppingDynkin gamesstopping times

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Probabilistic games; gambling (91A60) Games of timing (91A55)

Related Items (12)

Approximation of value function of differential game with minimal cost ⋮ Reflected and doubly reflected BSDEs driven by RCLL martingales ⋮ On zero-sum optimal stopping games ⋮ RBSDEs with optional barriers: monotone approximation ⋮ Reflected BSDEs with regulated trajectories ⋮ Dynkin's games and Israeli options ⋮ Doubly reflected BSDEs and \(\mathcal{E} ^{{f}}\)-Dynkin games: beyond the right-continuous case ⋮ Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games ⋮ Reflected backward stochastic differential equations with two optional barriers ⋮ On a stopping game in continuous time ⋮ Optimal stopping with \(f\)-expectations: the irregular case ⋮ Non-linear Dynkin games over split stopping times

Cites Work

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• Backward SDEs with two rcll reflecting barriers without Mokobodski's hypothesis
• Backward stochastic differential equations with reflection and Dynkin games
• Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski
• Sur un problème de dynkin
• [https://portal.mardi4nfdi.de/wiki/Publication:4162232 Contr�le de processus alternants et applications]
• Continuous-Time Dynkin Games with Mixed Strategies

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