On the value of optimal stopping games

DOI10.1214/105051606000000204zbMath1173.91309arXivmath/0610324OpenAlexW2161463710MaRDI QIDQ862220

Erik Ekström, Stéphane Villeneuve

Publication date: 5 February 2007

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0610324

zbMATH Keywords

optimal stoppingDynkin gamesIsraeli optionssmooth-fit principleOptimal stopping games

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15)

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Cites Work

• Properties of game options
• Nonlinear variational inequalities and differential games with stopping times
• Stochastic games and variational inequalities
• On the optimal stopping problem for one-dimensional diffusions.
• Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski
• Nonzero-Sum Stochastic Differential Games With Stopping Times and Free Boundary Problems
• Robustness of the Black and Scholes Formula
• Optimal Stopping of Regular Diffusions under Random Discounting
• Game options
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