Nonzero-sum games of optimal stopping for Markov processes
DOI10.1007/s00245-016-9388-7zbMath1404.91020OpenAlexW2550756872WikidataQ59477015 ScholiaQ59477015MaRDI QIDQ722076
Publication date: 20 July 2018
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-016-9388-7
Nash equilibriumMarkov processdouble partial superharmonic characterisationnonzero-sum optimal stopping gameprinciple of double continuous fitprinciple of double smooth fit
Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic games, stochastic differential games (91A15)
Related Items (6)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Zero-sum Markov games with stopping and impulsive strategies
- Backward stochastic differential equations with reflection and Dynkin games
- Game contingent claims in complete and incomplete markets
- Regularity theorems for variational inequalities in unbounded domains and applications to stopping time problems
- On the value of optimal stopping games
- Properties of game options
- Non-zero-sum discrete parameter stochastic games with stopping times
- Non zero-sum stopping games of symmetric Markov processes
- Nonlinear variational inequalities and differential games with stopping times
- Nash equilibria of threshold type for two-player nonzero-sum games of stopping
- BSDEs with two reflecting barriers: the general result
- Stochastic games and variational inequalities
- Sequential testing problems for Poisson processes.
- Some calculations for Israeli options
- Pricing derivatives of American and game type in incomplete markets
- Two-player nonzero-sum stopping games in discrete time.
- The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options
- Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski
- Continuous Time Stopping Games with Monotone Reward Structures
- Bounded Variation Singular Stochastic Control and Dynkin Game
- Pricing Israeli options: a pathwise approach
- Principle of smooth fit and diffusions with angles
- Existence of a quasi-markov nash equilibrium for non-zero sum markov stopping games
- CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS
- Optimal Stopping Games and Nash Equilibrium
- Optimal Stopping Games for Markov Processes
- A Nonzero-Sum Extension of Dynkin's Stopping Problem
- Optimal Stopping in Sequential Games With or Without a Constraint of Always Terminating
- On a discrete-time non-zero-sum Dynkin problem with monotonicity
- Sur un problème de dynkin
- Construction of the Cost and Optimal Policies in a Game Problem of Stopping a Markov Process
- Nonzero-Sum Stochastic Differential Games With Stopping Times and Free Boundary Problems
- Dynkin Games via Dirichlet Forms and Singular Control of One-Dimensional Diffusions
- A NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS
- PERPETUAL CANCELLABLE AMERICAN CALL OPTION
- The Value of Zero-Sum Stopping Games in Continuous Time
- Equilibrium in two-player non-zero-sum Dynkin games in continuous time
- On a Game Connected with the Wiener Process
- Optimal Stopping in Games with Continuous Time
- Markov Processes, Brownian Motion, and Time Symmetry
- Perpetual convertible bonds in jump-diffusion models
- Game options
This page was built for publication: Nonzero-sum games of optimal stopping for Markov processes
