A Dynkin Game on Assets with Incomplete Information on the Return
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Publication:4991665
DOI10.1287/moor.2019.1046zbMath1475.91004arXiv1705.07352OpenAlexW3086671740MaRDI QIDQ4991665
Stéphane Villeneuve, Tiziano De Angelis, Fabien Gensbittel
Publication date: 3 June 2021
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1705.07352
Noncooperative games (91A10) 2-person games (91A05) Applications of game theory (91A80) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Games of timing (91A55)
Related Items (3)
Dynkin Games with Incomplete and Asymmetric Information ⋮ On the value of non-Markovian Dynkin games with partial and asymmetric information ⋮ Optimal dividends with partial information and stopping of a degenerate reflecting diffusion
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