On a decomposition result in a Dynkin stopping game

DOI10.1080/02522667.2008.10699818zbMath1211.91088OpenAlexW2334507836MaRDI QIDQ2997964

Cloud Makasu

Publication date: 10 May 2011

Published in: Journal of Information and Optimization Sciences (Search for Journal in Brave)

Full work available at URL: http://www.connectjournals.com/file_html_pdf/56503H_jios266_523-530_abs.htm

zbMATH Keywords

optimal stopping problemsmooth-fit principleDynkin stopping game

Mathematics Subject Classification ID

2-person games (91A05) Probabilistic games; gambling (91A60)

Cites Work

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• Dynkin games and martingale methods
• Optimal Stopping of One-Dimensional Diffusions
• Sur un problème de dynkin
• A Markov decision process with convex reward and its associated stopping game
• Continuous-Time Dynkin Games with Mixed Strategies
• On a Game Connected with the Wiener Process
• Optimal stopping problems for Brownian motion

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