Nonzero-Sum Stochastic Differential Games With Stopping Times and Free Boundary Problems
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Publication:4145231
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear initial, boundary and initial-boundary value problems for linear parabolic equations (35K60) Hamilton-Jacobi theories (49L99) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20) Parabolic equations and parabolic systems (35K99) Probabilistic games; gambling (91A60) Elliptic equations and elliptic systems (35J99)
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Cited in
(36)- A class of nonzero-sum investment and reinsurance games subject to systematic risks
- Numerical solution of quasi-variational inequalities arising in stochastic game theory
- Nash equilibrium in nonzero-sum games of optimal stopping for Brownian motion
- Non zero-sum stopping games of symmetric Markov processes
- A NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS
- Control-stopping games for market microstructure and beyond
- Non-zero-sum discrete parameter stochastic games with stopping times
- Nonzero-sum games of optimal stopping and generalized Nash equilibrium problems
- Playing with ghosts in a Dynkin game
- Error estimates for binomial approximations of game put options
- Dynkin's games and Israeli options
- A class of solvable stopping games
- Dynkin games with heterogeneous beliefs
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