Zero-sum Dynkin games under common and independent Poisson constraints
Fuente:
arXiv
Saved in:
| Main Authors: | Hobson, David, Liang, Gechun, Wang, Edward |
|---|---|
| Format: | Preprint |
| Published: |
2024
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Callable convertible bonds under liquidity constraints and hybrid priorities
by: Hobson, David, et al.
Published: (2021)
by: Hobson, David, et al.
Published: (2021)
Zero-sum stopper vs. singular-controller games with constrained control directions
by: Bovo, Andrea, et al.
Published: (2023)
by: Bovo, Andrea, et al.
Published: (2023)
On the saddle point of a zero-sum stopper vs. singular-controller game
by: Bovo, Andrea, et al.
Published: (2024)
by: Bovo, Andrea, et al.
Published: (2024)
Stopper vs. singular-controller games with degenerate diffusions
by: Bovo, Andrea, et al.
Published: (2023)
by: Bovo, Andrea, et al.
Published: (2023)
On the optimal stopping problem for diffusions and an approximation result for stopping times
by: Cosso, Andrea, et al.
Published: (2025)
by: Cosso, Andrea, et al.
Published: (2025)
Dynkin ghost games with asymmetry and consolation
by: Ekström, Erik, et al.
Published: (2024)
by: Ekström, Erik, et al.
Published: (2024)
Finite-time horizon, stopper vs. singular-controller games on the half-line
by: Bovo, Andrea, et al.
Published: (2024)
by: Bovo, Andrea, et al.
Published: (2024)
General Markovian randomized equilibrium existence and construction in zero-sum Dynkin games for diffusions
by: Christensen, Sören, et al.
Published: (2024)
by: Christensen, Sören, et al.
Published: (2024)
Mean-field games with rough common noise: the linear-quadratic case
by: Friz, Peter K., et al.
Published: (2026)
by: Friz, Peter K., et al.
Published: (2026)
Markovian randomized equilibria for general Markovian Dynkin games in discrete time
by: Christensen, Sören, et al.
Published: (2023)
by: Christensen, Sören, et al.
Published: (2023)
Global regularity of the value function in a stopper vs. singular-controller game
by: Bovo, Andrea, et al.
Published: (2025)
by: Bovo, Andrea, et al.
Published: (2025)
Agency Problems and Adversarial Bilevel Optimization under Uncertainty and Cyber Threats
by: Mastrolia, Thibaut, et al.
Published: (2025)
by: Mastrolia, Thibaut, et al.
Published: (2025)
Martingale theory for Dynkin games with asymmetric information
by: De Angelis, Tiziano, et al.
Published: (2025)
by: De Angelis, Tiziano, et al.
Published: (2025)
Dynamic Mean-Variance Asset Allocation in General Incomplete Markets A Nonlocal BSDE-based Feedback Control Approach
by: Lei, Qian, et al.
Published: (2024)
by: Lei, Qian, et al.
Published: (2024)
Default Contagion, Matrix Approximation, and Control in Sparse Financial Networks
by: Zhang, Aoxin, et al.
Published: (2026)
by: Zhang, Aoxin, et al.
Published: (2026)
Irreversible reinsurance: Minimization of Capital Injections in Presence of a Fixed Cost
by: Federico, Salvatore, et al.
Published: (2023)
by: Federico, Salvatore, et al.
Published: (2023)
Model-independent upper bounds for the prices of Bermudan options with convex payoffs
by: Hobson, David, et al.
Published: (2025)
by: Hobson, David, et al.
Published: (2025)
Value existence for zero-sum ergodic stochastic differential games
by: Li, Juan, et al.
Published: (2021)
by: Li, Juan, et al.
Published: (2021)
Dam Management in the Era of Climate Change
by: Di Girolami, Cristina, et al.
Published: (2025)
by: Di Girolami, Cristina, et al.
Published: (2025)
Mean field optimal stopping with uncontrolled state
by: Cosso, Andrea, et al.
Published: (2025)
by: Cosso, Andrea, et al.
Published: (2025)
Robust Exploratory Stopping under Ambiguity in Reinforcement Learning
by: Ye, Junyan, et al.
Published: (2025)
by: Ye, Junyan, et al.
Published: (2025)
A dynamic competitive equilibrium model of irreversible capacity investment with stochastic demand and heterogeneous producers
by: Kardaras, Constantinos, et al.
Published: (2025)
by: Kardaras, Constantinos, et al.
Published: (2025)
Dynamic reinsurance via martingale transport
by: Acciaio, Beatrice, et al.
Published: (2026)
by: Acciaio, Beatrice, et al.
Published: (2026)
A Stackelberg Game based on the Secretary Problem: Optimal Response is History Dependent
by: Ramsey, David
Published: (2024)
by: Ramsey, David
Published: (2024)
Singular stochastic control problems motivated by the optimal sustainable exploitation of an ecosystem
by: Liang, Gechun, et al.
Published: (2020)
by: Liang, Gechun, et al.
Published: (2020)
Optimal Stopping of BSDEs with Constrained Jumps and Related Double Obstacle PDEs
by: Perninge, Magnus
Published: (2024)
by: Perninge, Magnus
Published: (2024)
Robust Ergodic Control of Jump-Diffusion Systems under Drift and Intensity Uncertainty
by: Azze, Abel, et al.
Published: (2026)
by: Azze, Abel, et al.
Published: (2026)
Robust Hedging of American Options via Aggregated Snell Envelopes
by: Rodrigues, Marco
Published: (2025)
by: Rodrigues, Marco
Published: (2025)
Mean-Field Games with two-sided singular controls for Lévy processes
by: Oliú, Facundo
Published: (2025)
by: Oliú, Facundo
Published: (2025)
Ergodic Mean-Field Games of Singular Control with Regime-Switching (Extended Version)
by: Dianetti, Jodi, et al.
Published: (2023)
by: Dianetti, Jodi, et al.
Published: (2023)
On the time consistent solution to optimal stopping problems with expectation constraint
by: Christensen, Sören, et al.
Published: (2023)
by: Christensen, Sören, et al.
Published: (2023)
Intrinsic regularization by noise for $1d$ mean field games
by: Delarue, François, et al.
Published: (2024)
by: Delarue, François, et al.
Published: (2024)
On the Singular Control of a Diffusion and Its Running Infimum or Supremum
by: Ferrari, Giorgio, et al.
Published: (2025)
by: Ferrari, Giorgio, et al.
Published: (2025)
Goal-based portfolio selection with fixed transaction costs
by: Bayraktar, Erhan, et al.
Published: (2025)
by: Bayraktar, Erhan, et al.
Published: (2025)
Stackelberg stopping games
by: Zhang, Jingjie, et al.
Published: (2025)
by: Zhang, Jingjie, et al.
Published: (2025)
Recursive Optimal Stopping with Poisson Stopping Constraints
by: Liang, Gechun, et al.
Published: (2024)
by: Liang, Gechun, et al.
Published: (2024)
Freidlin-Wentzell solutions of discrete Hamilton Jacobi equations
by: Aleandri, Michele, et al.
Published: (2025)
by: Aleandri, Michele, et al.
Published: (2025)
An exit contract optimization problem
by: He, Xihao, et al.
Published: (2021)
by: He, Xihao, et al.
Published: (2021)
Optimal Stopping of Branching Diffusion Processes
by: Kharroubi, Idris, et al.
Published: (2024)
by: Kharroubi, Idris, et al.
Published: (2024)
G-BSDEs with non-Lipschitz coefficients and the corresponding stochastic recursive optimal control problem
by: He, Wei, et al.
Published: (2025)
by: He, Wei, et al.
Published: (2025)
Similar Items
-
Callable convertible bonds under liquidity constraints and hybrid priorities
by: Hobson, David, et al.
Published: (2021) -
Zero-sum stopper vs. singular-controller games with constrained control directions
by: Bovo, Andrea, et al.
Published: (2023) -
On the saddle point of a zero-sum stopper vs. singular-controller game
by: Bovo, Andrea, et al.
Published: (2024) -
Stopper vs. singular-controller games with degenerate diffusions
by: Bovo, Andrea, et al.
Published: (2023) -
On the optimal stopping problem for diffusions and an approximation result for stopping times
by: Cosso, Andrea, et al.
Published: (2025)