Stochastic games of control stopping for a linear diffusion

MaRDI QIDQ3511595zbMATH OpenFDO

Authors Ioannis Karatzas, William D. Sudderth

Publication date 11 July 2008

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic games, stochastic differential games (91A15) Differential games (aspects of game theory) (91A23)

Recommendations

• The controller-and-stopper game for a linear diffusion.
• A controller and a stopper game with degenerate variance control
• On the multidimensional controller-and-stopper games
• Zero-sum stochastic games with stopping and control
• A Stochastic Differential Game with Safe and Risky Choices

Cited in

(15)

• The controller-and-stopper game for a linear diffusion.
• Nonzero-sum stochastic differential games between an impulse controller and a stopper
• Zero-sum stochastic games with stopping and control
• Control-stopping games for market microstructure and beyond
• Game of Singular Stochastic Control and Strategic Exit
• Nonzero-sum stochastic differential game between controller and stopper for jump diffusions
• Portfolio risk minimization and differential games
• Endogenous formation of limit order books: dynamics between trades
• How to Detect a Salami Slicer: A Stochastic Controller-and-Stopper Game with Unknown Competition
• Nonzero-sum games of optimal stopping and generalized Nash equilibrium problems
• The de Finetti Problem with Uncertain Competition
• On the impact of the penalty on the cancellable American options
• Drift control with discretionary stopping for a diffusion
• Optimal stopping under adverse nonlinear expectation and related games
• Martingale approach to stochastic differential games of control and stopping

This page was built for publication: Stochastic games of control stopping for a linear diffusion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3511595)