A class of solvable stopping games

Applied Mathematics and Optimization

Volumn 58, Issue 3, 2008, Pages 291-314

  Alvarez, Luis H R ^a  

^a UNIVERSITY OF TURKU   (Finland)

Author keywords

Dynkin games; Fundamental solutions; Linear diffusions; Minimal excessive functions

Indexed keywords

DYNKIN GAMES; EXERCISE BOUNDARIES; FIRST-ORDER; FUNDAMENTAL SOLUTIONS; LINEAR DIFFUSIONS; MINIMAL EXCESSIVE FUNCTIONS; OPTIMALITY; SADDLE POINTS; STOPPING GAMES;

SEMICONDUCTOR DOPING;

GAME THEORY;

EID: 54949111005     PISSN: 00954616     EISSN: 14320606     Source Type: Journal    
DOI: 10.1007/s00245-008-9035-z     Document Type: Article

References (24)

1. L.H.R. Alvarez 2001 Reward functionals, salvage values and optimal stopping Math. Methods Oper. Res. 54 315 337
2. L.H.R. Alvarez 2004 A class of solvable impulse control problems Appl. Math. Optim. 49 265 295
3. L.H.R. Alvarez 2004 Stochastic forest stand value and optimal timber harvesting SIAM J. Control Optim. 42 1972 1993
4. A. Bensoussan A. Friedman 1974 Nonlinear variational inequalities and differential games with stopping times J. Funct. Anal. 16 305 352
5. A. Bensoussan A. Friedman 1977 Nonzero-sum stochastic differential games with stopping times and free boundary problems Trans. Am. Math. Soc. 231 275 327
6. F. Boetius 2005 Bounded variation singular stochastic control and Dynkin game SIAM J. Control Optim. 44 1289 1321
7. Borodin, A., Salminen, P.: Handbook on Brownian Motion-Facts and Formulae, 2nd edn. Birkhauser, Basel (2002)
8. S. Dayanik I. Karatzas 2003 On the optimal stopping problem for one-dimensional diffusions Stoch. Process. Appl. 107 173 212
9. Dynkin, E.B.: Markov Processes, vol. II. Springer, Berlin (1965)
10. E.B. Dynkin 1969 Game variant of a problem of optimal stopping Sov. Math. Dokl. 10 270 274
11. E. Ekström 2006 Properties of game options Math. Methods Oper. Res. 63 221 238
12. Ekström, E., Peskir, G.: Optimal stopping games for Markov processes. SIAM J. Control Optim. (2006, to appear)
13. E. Ekström S. Villeneuve 2006 On the value of optimal stopping games Ann. Appl. Probab. 16 1576 1596
14. A. Friedman 1973 Stochastic games and variational inequalities Arch. Ration. Mech. Anal. 51 321 341
15. A. Friedman 1973 Regularity theorem for variational inequalities in unbounded domains and applications to stopping time problems Arch. Ration. Mech. Anal. 52 134 160
16. M. Fukushima M. Taksar 2002 Dynkin games via Dirichlet forms and singular control of one-dimensional diffusions SIAM J. Control Optim. 41 682 699
17. Karatzas, I., Wang, H.: Connections Between Bounded-Variation Control and Dynkin Games, Volume in Honor of Prof. Alain Bensoussan, pp. 353-362. IOS Press, Amsterdam (2001)
18. Karlin, S., Taylor, H.: A Second Course in Stochastic Processes. Academic, Orlando (1981)
19. Y. Kifer 2000 Game options Finance Stoch. 4 443 463
20. A.E. Kyprianou 2004 Some calculations for Israeli options Finance Stoch. 8 73 86
21. R. Laraki E. Solan 2005 The value of zero-sum stopping games in continuous time SIAM J. Control Optim. 43 1913 1922
22. R. Laraki E. Solan N. Vieille 2005 Continuous-time games of timing J. Econ. Theory 120 206 238
23. P. Salminen 1985 Optimal stopping of one-dimensional diffusions Mat. Nachr. 124 85 101
24. N. Touzi N. Vieille 2002 Continuous-time Dynkin games with mixed strategies SIAM J. Control Optim. 41 1073 1088