Numerical scheme for Dynkin games under model uncertainty

DOI10.1214/18-EJP198MaRDI QIDQ1663906zbMATHFDO

Authors Yan Dolinsky, Benjamin Gottesman

Publication date 24 August 2018

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1707.00033

zbMATH Keywords

model uncertaintySkorokhod embeddinggame optionsDynkin games

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15)

Abstract: We introduce an efficient numerical scheme for continuous time Dynkin games under model uncertainty. We use the Skorokhod embedding in order to construct recombining tree approximations. This technique allows us to determine convergence rates and to construct numerically optimal stopping strategies. We apply our method to several examples of game options.

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Cited in

(2)

• Corrigendum to: ``Second-order reflected backward stochastic differential equations and ``Second-order BSDEs with general reflection and game options under uncertainty
• scientific article; zbMATH DE number 6678598 (Why is no real title available?)

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