The de Finetti Problem with Uncertain Competition

DOI10.1137/22M1524849zbMATH Open1527.91031OpenAlexW4387674259MaRDI QIDQ6057793FDOQ6057793

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

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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)

Cites Work

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

Cited In (1)

• Stopper vs. singular controller games with degenerate diffusions

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