On a decomposition result in a Dynkin stopping game

DOI10.1080/02522667.2008.10699818zbMATH Open1211.91088OpenAlexW2334507836MaRDI QIDQ2997964FDOQ2997964

Authors: 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

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zbMATH Keywords

optimal stopping problemsmooth-fit principleDynkin stopping game

Mathematics Subject Classification ID

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

Cites Work

• Nonlinear variational inequalities and differential games with stopping times
• Title not available (Why is that?)
• Sur un problème de dynkin
• Continuous-Time Dynkin Games with Mixed Strategies
• Title not available (Why is that?)
• On optimal stopping and free boundary problems
• Optimal Stopping of One-Dimensional Diffusions
• Optimal stopping problems for Brownian motion
• Optimal time to invest when the price processes are geometric Brownian motions
• Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski
• Dynkin games and martingale methods
• Non zero-sum stopping games of symmetric Markov processes
• On a Game Connected with the Wiener Process
• Explicit optimal value for Dynkin's stopping game
• A Markov decision process with convex reward and its associated stopping game

Cited In (2)

• On some kind of Dynkin's stopping game
• Stopping game on two stocks driven by Lévy processes

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