scholarly journals Dynkin Games with Poisson Random Intervention Times

2019 ◽  
Vol 57 (4) ◽  
pp. 2962-2991
Author(s):  
Gechun Liang ◽  
Haodong Sun
Keyword(s):  
Dynkin Games

Dynkin games and martingale methods

Stochastics ◽  
1984 ◽  
Vol 13 (3) ◽  
pp. 213-228 ◽  
Author(s):  
Hiroaki Morimoto
Keyword(s):  
Dynkin Games ◽  
Martingale Methods

scholarly journals Generalized Dynkin games and doubly reflected BSDEs with jumps

2016 ◽  
Vol 21 (0) ◽  
Author(s):  
Roxana Dumitrescu ◽  
Marie-Claire Quenez ◽  
Agnès Sulem
Keyword(s):  
Dynkin Games ◽  
Reflected Bsdes

scholarly journals Dynkin games in a general framework

Stochastics ◽  
2013 ◽  
Vol 86 (2) ◽  
pp. 304-329 ◽  
Author(s):  
Magdalena Kobylanski ◽  
Marie-Claire Quenez ◽  
Marc Roger de Campagnolle
Keyword(s):  
General Framework ◽  
Dynkin Games

scholarly journals Doubly Reflected BSDEs and $\mathcal{E} ^{{f}}$-Dynkin games: beyond the right-continuous case

2018 ◽  
Vol 23 (0) ◽  
Author(s):  
Miryana Grigorova ◽  
Peter Imkeller ◽  
Youssef Ouknine ◽  
Marie-Claire Quenez
Keyword(s):  
Continuous Case ◽  
Dynkin Games ◽  
The Right ◽  
Reflected Bsdes

scholarly journals Dynkin games with heterogeneous beliefs

2017 ◽  
Vol 54 (1) ◽  
pp. 236-251 ◽  
Author(s):  
Erik Ekström ◽  
Kristoffer Glover ◽  
Marta Leniec
Keyword(s):  
Optimal Stopping ◽  
Nash Equilibria ◽  
Heterogeneous Beliefs ◽  
Stopping Times ◽  
Value Functions ◽  
Natural Conditions ◽  
Dynkin Games ◽  
Zero Sum ◽  
Stopping Games ◽  
The Given

AbstractWe study zero-sum optimal stopping games (Dynkin games) between two players who disagree about the underlying model. In a Markovian setting, a verification result is established showing that if a pair of functions can be found that satisfies some natural conditions then a Nash equilibrium of stopping times is obtained, with the given functions as the corresponding value functions. In general, however, there is no uniqueness of Nash equilibria, and different equilibria give rise to different value functions. As an example, we provide a thorough study of the game version of the American call option under heterogeneous beliefs. Finally, we also study equilibria in randomized stopping times.

scholarly journals Equilibrium in two-player non-zero-sum Dynkin games in continuous time

Stochastics ◽  
2012 ◽  
Vol 85 (6) ◽  
pp. 997-1014 ◽  
Author(s):  
Rida Laraki ◽  
Eilon Solan
Keyword(s):  
Continuous Time ◽  
Dynkin Games ◽  
Zero Sum
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