A Dynkin game under Knightian uncertainty
DOI10.3934/DCDS.2015.35.5467zbMath1332.93378OpenAlexW2524438989MaRDI QIDQ255509
Hyeng Keun Koo, Shanjian Tang, Zhou Yang
Publication date: 9 March 2016
Published in: Discrete and Continuous Dynamical Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/dcds.2015.35.5467
variational inequalitybackward stochastic partial differential equationDynkin gamesuper-parabolicity
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Ordinary differential equations and systems with randomness (34F05) Stochastic systems in control theory (general) (93E03) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)
Related Items (2)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Representation of the penalty term of dynamic concave utilities
- Backward stochastic differential equations with reflection and Dynkin games
- Maxmin expected utility with non-unique prior
- Nonlinear variational inequalities and differential games with stopping times
- Strong solution of backward stochastic partial differential equations in \(C ^{2}\) domains
- Optimal stopping under ambiguity in continuous time
- Risk, Ambiguity, and the Savage Axioms
- The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options
- Optimal Stopping With Multiple Priors
- Sur un problème de dynkin
- Continuous-Time Dynkin Games with Mixed Strategies
- Dynkin Game of Stochastic Differential Equations with Random Coefficients and Associated Backward Stochastic Partial Differential Variational Inequality
- Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
- Ambiguity, Risk, and Asset Returns in Continuous Time
- DISUTILITY, OPTIMAL RETIREMENT, AND PORTFOLIO SELECTION
This page was built for publication: A Dynkin game under Knightian uncertainty
