Mixed zero-sum stochastic differential game and American game options

SIAM Journal on Control and Optimization

Volumn 45, Issue 2, 2006, Pages 496-518

  Hamadene S ^a  

^a UNIVERSITÉ DU MAINE   (France)

Author keywords

American game options; Dynkin games; Mixed zero sum stochastic differential game; Reflected backward SDEs

Indexed keywords

CONTROL THEORY; DIFFERENTIAL EQUATIONS; OPTIMIZATION; PROBLEM SOLVING; RANDOM PROCESSES;

AMERICAN GAME OPTIONS; DYNKIN GAMES; MIXED ZERO-SUM STOCHASTIC DIFFERENTIAL GAME; REFLECTED BACKWARD SDE;

GAME THEORY;

EID: 33947240908     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S036301290444280X     Document Type: Article

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