Dynkin game under g-expectation in continuous time

DOI10.1007/S40065-020-00281-2zbMATH Open1455.60078OpenAlexW3124561513MaRDI QIDQ2189342FDOQ2189342

Yong Ren, Feng Hu, Helin Wu

Publication date: 15 June 2020

Published in: Arabian Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40065-020-00281-2

zbMATH Keywords

backward stochastic differential equationDynkin game

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Games in extensive form (91A18) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

Cites Work

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• Nonlinear variational inequalities and differential games with stopping times
• The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations with reflection and Dynkin games
• Choquet expectation and Peng's \(g\)-expectation
• Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures
• Risk measures via \(g\)-expectations
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• The relationship between risk measures and Choquet expectations in the framework of \(g\)-expectations
• Jensen's inequality for \(g\)-expectation. I
• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• Reflected BSDEs and mixed game problem
• Optimal Stopped Games
• Stochastic games and variational inequalities
• CONTROL OF MARKOV PROCESSES AND $ W$-SPACES
• Dynkin games and martingale methods
• Optimal Stopping in Sequential Games With or Without a Constraint of Always Terminating
• Construction of the Cost and Optimal Policies in a Game Problem of Stopping a Markov Process
• On the integral representation of \(g\)-expectations
• Neveu's martingale conditions and closedness in Dynkin stopping problem with a finite constraint

Cited In (3)

• Non-linear Dynkin games over split stopping times
• The Multiplayer Nonzero-Sum Dynkin Game in Continuous Time
• The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options

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