The de Finetti Problem with Uncertain Competition

DOI10.1137/22M1524849MaRDI QIDQ6057793zbMATH OpenOpenAlexFDO

Authors Erik Ekström, Alessandro Milazzo, Marcus Olofsson

Publication date 26 October 2023

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/22m1524849

zbMATH Keywords

controller-and-stopper gameuncertain competitionde Finetti problem

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Games with incomplete information, Bayesian games (91A27)

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Cites work

• A zero-sum game between a singular stochastic controller and a discretionary stopper
• Beta Variables as Times Spent in [0, ∞[ By Certain Perturbed Brownian Motions
• Controlled diffusion models for optimal dividend pay-out
• Game of Singular Stochastic Control and Strategic Exit
• Games with Incomplete Information Played by “Bayesian” Players, I–III Part I. The Basic Model
• How to Detect a Salami Slicer: A Stochastic Controller-and-Stopper Game with Unknown Competition
• Martingale approach to stochastic differential games of control and stopping
• On the multidimensional controller-and-stopper games
• Optimization of the flow of dividends
• Perturbed Brownian motions
• Playing with ghosts in a Dynkin game
• Repeated games with incomplete information. With the collaboration of Richard E. Stearns
• Stochastic games of control stopping for a linear diffusion
• Stochastic nonzero-sum games: a new connection between singular control and optimal stopping

Cited in

(1)

• Stopper vs. singular controller games with degenerate diffusions

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