Nonzero-Sum Stochastic Differential Games With Stopping Times and Free Boundary Problems

DOI10.2307/1997905zbMATH Open0368.93029OpenAlexW4244448291MaRDI QIDQ4145231FDOQ4145231

Authors: A. Friedman, Alain Bensoussan 

Publication date: 1977

Full work available at URL: https://doi.org/10.2307/1997905

Mathematics Subject Classification ID

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)

• Nash equilibrium approximation of some class of stochastic differential games: a combined Chebyshev spectral collocation method with policy iteration
• Taxation, agency conflicts, and the choice between callable and convertible debt
• On the value of optimal stopping games
• Dynkin games with heterogeneous beliefs
• A NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS
• Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications
• The multi-player nonzero-sum Dynkin game in discrete time
• Non-zero-sum discrete parameter stochastic games with stopping times
• Nonzero-sum games of optimal stopping for Markov processes
• A class of solvable stopping games
• Error estimates for binomial approximations of game put options
• A theory of stopping time games with applications to product innovations and asset sales
• Nash equilibria of threshold type for two-player nonzero-sum games of stopping
• Non zero-sum stopping games of symmetric Markov processes
• Nonzero-sum games of optimal stopping and generalized Nash equilibrium problems
• Bayesian switching multiple disorder problems
• Control-stopping games for market microstructure and beyond
• Classical solvability of multidimensional two-phase Stefan problem for degenerate parabolic equations and Schauder's estimates for a degenerate parabolic problem with dynamic boundary conditions
• Dynkin's games and Israeli options
• Convergent approximations in parabolic variational inequalities. II: Hamilton-Jacobi inequalities
• Solving a class of zero-sum stopping game with regime switching
• Differential game with discrete stopping time
• Stochastic differential games with a varying number of players
• Variational inequalities and free boundary problems
• Optimal stopping games in models with various information flows
• A class of nonzero-sum investment and reinsurance games subject to systematic risks
• Minimum guaranteed payments and costly cancellation rights: a stopping game perspective
• Numerical solution of quasi-variational inequalities arising in stochastic game theory
• A differential game with the possibility of early termination
• The dynamic programming equations for stochastic games with discrete actions
• Dynkin games with incomplete and asymmetric information
• Non-zero-sum reinsurance and investment game with correlation between insurance market and financial market under CEV model
• A model of a 2-player stopping game with priority and asynchronous observation
• Playing with ghosts in a Dynkin game
• Differential game with discrete stopping time
• Nash equilibrium in nonzero-sum games of optimal stopping for Brownian motion

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