Dynkin games and martingale methods

DOI10.1080/17442508408833319zbMATH Open0569.60050OpenAlexW1973434578MaRDI QIDQ3685772FDOQ3685772

Authors: Hiroaki Morimoto 

Publication date: 1984

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508408833319

Recommendations

• Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski
• Dynkin games in a general framework
• Dynkin's stopping games with zero payoffs for separate stopping
• Continuous-Time Dynkin Games with Mixed Strategies
• scientific article; zbMATH DE number 3861015

zbMATH Keywords

stopping timesexistence of a saddle-pointnon-Markov stochastic games

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic games, stochastic differential games (91A15)

Cites Work

• Nonlinear variational inequalities and differential games with stopping times
• Title not available (Why is that?)
• Sur un problème de dynkin
• Strong envelopes of stochastic processes and a penalty method^†
• Stochastic games and variational inequalities
• Zero-sum Markov games with stopping and impulsive strategies
• Optimal stopping and a martingale approach to the penalty method
• Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski
• Contr�le de processus alternants et applications
• On a discretization procedure for the stopping time problem

Cited In (26)

• Dynkin game under \(g\)-expectation in continuous time
• Dynkin games in a general framework
• A martingale method for the solution of optimal stopping games
• Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games
• Backward stochastic differential equations with reflection and Dynkin games
• On a decomposition result in a Dynkin stopping game
• Optimal switching for alternating processes
• A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria
• Dynkin games with Poisson random intervention times
• BSDE approach for Dynkin game and American game option
• Zero-sum stochastic games with stopping and control
• Non-zero-sum discrete parameter stochastic games with stopping times
• Continuous-time zero-sum stochastic game with stopping and control
• A class of solvable stopping games
• Perturbation methods in optimal stopping with average cost criterion
• Non zero-sum stopping games of symmetric Markov processes
• On a variational inequality associated with a stopping game combined with a control
• Existence of a quasi-markov nash equilibrium for non-zero sum markov stopping games
• Title not available (Why is that?)
• A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis
• Dynkin's games and Israeli options
• On the value of a time-inconsistent mean-field zero-sum Dynkin game
• Title not available (Why is that?)
• On average cost stopping time problems
• Continuous-Time Dynkin Games with Mixed Strategies
• Dynkin's stopping games with zero payoffs for separate stopping

This page was built for publication: Dynkin games and martingale methods

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3685772)