scholarly journals Playing with ghosts in a Dynkin game

2020 ◽  
Vol 130 (10) ◽  
pp. 6133-6156
Author(s):  
Tiziano De Angelis ◽  
Erik Ekström
Keyword(s):  
Dynkin Game

Bounded Variation Singular Stochastic Control and Dynkin Game

2005 ◽  
Vol 44 (4) ◽  
pp. 1289-1321 ◽  
Author(s):  
Frederik Boetius
Keyword(s):  
Stochastic Control ◽  
Bounded Variation ◽  
Singular Stochastic Control ◽  
Dynkin Game

On the robust Dynkin game

2017 ◽  
Vol 27 (3) ◽  
pp. 1702-1755 ◽  
Author(s):  
Erhan Bayraktar ◽  
Song Yao
Keyword(s):  
Dynkin Game

scholarly journals Dynkin game under g-expectation in continuous time

2020 ◽  
Vol 9 (2) ◽  
pp. 459-470
Author(s):  
Helin Wu ◽  
Yong Ren ◽  
Feng Hu
Keyword(s):  
Differential Equation ◽  
Stochastic Differential Equation ◽  
Continuous Time ◽  
Value Function ◽  
Backward Stochastic Differential Equation ◽  
Saddle Points ◽  
Value Functions ◽  
Dynkin Game ◽  
The Value Function

Abstract In this paper, we investigate some kind of Dynkin game under g-expectation induced by backward stochastic differential equation (short for BSDE). The lower and upper value functions $$\underline{V}_t=ess\sup \nolimits _{\tau \in {\mathcal {T}_t}} ess\inf \nolimits _{\sigma \in {\mathcal {T}_t}}\mathcal {E}^g_t[R(\tau ,\sigma )]$$ V ̲ t = e s s sup τ ∈ T t e s s inf σ ∈ T t E t g [ R ( τ , σ ) ] and $$\overline{V}_t=ess\inf \nolimits _{\sigma \in {\mathcal {T}_t}} ess\sup \nolimits _{\tau \in {\mathcal {T}_t}}\mathcal {E}^g_t[R(\tau ,\sigma )]$$ V ¯ t = e s s inf σ ∈ T t e s s sup τ ∈ T t E t g [ R ( τ , σ ) ] are defined, respectively. Under some suitable assumptions, a pair of saddle points is obtained and the value function of Dynkin game $$V(t)=\underline{V}_t=\overline{V}_t$$ V ( t ) = V ̲ t = V ¯ t follows. Furthermore, we also consider the constrained case of Dynkin game.

scholarly journals A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria

2022 ◽  
Author(s):  
Yu-Jui Huang ◽  
Zhou Zhou
Keyword(s):  
Dynkin Game ◽  
Time Inconsistent

The Dynkin game with regime switching and applications to pricing game options

2020 ◽  
Author(s):  
Siyu Lv ◽  
Zhen Wu ◽  
Qing Zhang
Keyword(s):  
Regime Switching ◽  
Dynkin Game ◽  
Game Options

scholarly journals Callable Russian Options and Their Optimal Boundaries

2009 ◽  
Vol 2009 ◽  
pp. 1-13 ◽  
Author(s):  
Atsuo Suzuki ◽  
Katsushige Sawaki
Keyword(s):  
Optimal Stopping ◽  
Value Function ◽  
Optimal Stopping Problem ◽  
Dynkin Game ◽  
Russian Option ◽  
The Value Function

We deal with the pricing of callable Russian options. A callable Russian option is a contract in which both of the seller and the buyer have the rights to cancel and to exercise at any time, respectively. The pricing of such an option can be formulated as an optimal stopping problem between the seller and the buyer, and is analyzed as Dynkin game. We derive the value function of callable Russian options and their optimal boundaries.

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