Mixed Zero-Sum Stochastic Differential Game and American Game Options
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Publication:3427778
DOI10.1137/S036301290444280XzbMath1223.91009MaRDI QIDQ3427778
Publication date: 27 March 2007
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Stochastic games, stochastic differential games (91A15)
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