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Nonzero-Sum Games of Optimal Stopping for Markov Processes

https://doi.org/10.1007/s00245-016-9388-7
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/0-387-28696-9openalex-snapshot
Markov Processes, Brownian Motion, and Time Symmetry
inferredcites →https://doi.org/10.1007/978-0-387-35434-7_14openalex-snapshot
Discrete Parameter Martingales
inferredcites →https://doi.org/10.1007/978-1-4612-2054-1_6openalex-snapshot
Stochastic Differential Equations Based on Lévy Processes and Stochastic Flows of Diffeomorphisms
inferredcites →https://doi.org/10.1007/978-3-662-00031-1openalex-snapshot
Markov Processes
inferredcites →https://doi.org/10.1007/978-3-7643-7390-0_3openalex-snapshot
Optimal stopping and free-boundary problems
inferredcites →https://doi.org/10.1007/bf00263039openalex-snapshot
Stochastic games and variational inequalities
inferredcites →https://doi.org/10.1007/bf00282324openalex-snapshot
Regularity theorems for variational inequalities in unbounded domains and applications to stopping time problems
inferredcites →https://doi.org/10.1007/bf00320329openalex-snapshot
Non zero-sum stopping games of symmetric Markov processes
inferredcites →https://doi.org/10.1007/bf00343901openalex-snapshot
Non-zero-sum discrete parameter stochastic games with stopping times
inferredcites →https://doi.org/10.1007/bf01460115openalex-snapshot
Zero-sum Markov games with stopping and impulsive strategies
inferredcites →https://doi.org/10.1007/bf01844871openalex-snapshot
Sur un problème de dynkin
inferredcites →https://doi.org/10.1007/pl00013527openalex-snapshot
Game options
inferredcites →https://doi.org/10.1007/s00186-005-0027-3openalex-snapshot
Properties of game options
inferredcites →https://doi.org/10.1007/s00440-004-0395-2openalex-snapshot
BSDEs with two reflecting barriers : the general result
inferredcites →https://doi.org/10.1007/s00780-003-0104-5openalex-snapshot
Some calculations for Israeli options
inferredcites →https://doi.org/10.1007/s00780-003-0110-7openalex-snapshot
Pricing derivatives of American and game type in incomplete markets
inferredcites →https://doi.org/10.1016/0022-1236(74)90076-7openalex-snapshot
Nonlinear variational inequalities and differential games with stopping times
inferredcites →https://doi.org/10.1016/j.jmateco.2003.09.003openalex-snapshot
Game contingent claims in complete and incomplete markets
inferredcites →https://doi.org/10.1017/apr.2017.8openalex-snapshot
Nash equilibrium in nonzero-sum games of optimal stopping for Brownian motion
inferredcites →https://doi.org/10.1017/s0021900200039838openalex-snapshot
On a discrete-time non-zero-sum Dynkin problem with monotonicity
inferredcites →https://doi.org/10.1080/17442500600976442openalex-snapshot
Pricing Israeli options: a pathwise approach
inferredcites →https://doi.org/10.1080/17442500601040461openalex-snapshot
Principle of smooth fit and diffusions with angles
inferredcites →https://doi.org/10.1080/17442508.2012.726222openalex-snapshot
Equilibrium in two-player non-zero-sum Dynkin games in continuous time
inferredcites →https://doi.org/10.1080/17442508408833309openalex-snapshot
Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski
inferredcites →https://doi.org/10.1080/17442509008833635openalex-snapshot
Existence of a quasi-markov nash equilibrium for non-zero sum markov stopping games
inferredcites →https://doi.org/10.1086/338705openalex-snapshot
The Fine Structure of Asset Returns: An Empirical Investigation
inferredcites →https://doi.org/10.1090/s0002-9947-1977-0453082-7openalex-snapshot
Nonzero-Sum Stochastic Differential Games With Stopping Times and Free Boundary Problems
inferredcites →https://doi.org/10.1111/j.1467-9965.2007.00313.xopenalex-snapshot
CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS
inferredcites →https://doi.org/10.1111/j.1467-9965.2011.00479.xopenalex-snapshot
PERPETUAL CANCELLABLE AMERICAN CALL OPTION
inferredcites →https://doi.org/10.1111/j.1467-9965.2011.00488.xopenalex-snapshot
A NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS
inferredcites →https://doi.org/10.1112/blms/1.3.397openalex-snapshot
MARKOV PROCESSES AND POTENTIAL THEORY
inferredcites →https://doi.org/10.1112/blms/21.6.622openalex-snapshot
GENERAL THEORY OF MARKOV PROCESSES
inferredcites →https://doi.org/10.1137/060673916openalex-snapshot
Optimal Stopping Games for Markov Processes
inferredcites →https://doi.org/10.1137/080738933openalex-snapshot
The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options
inferredcites →https://doi.org/10.1137/1114088openalex-snapshot
On a Game Connected with the Wiener Process
inferredcites →https://doi.org/10.1137/1114091openalex-snapshot
The Optimal Stopping Rule for a Two-Person Markov Chain with Opposing Interests
inferredcites →https://doi.org/10.1137/1116060openalex-snapshot
Optimal Stopping in Games with Continuous Time
inferredcites →https://doi.org/10.1137/1121016openalex-snapshot
Construction of the Cost and Optimal Policies in a Game Problem of Stopping a Markov Process
inferredcites →https://doi.org/10.1137/s0040585x97983821openalex-snapshot
Optimal Stopping Games and Nash Equilibrium
inferredcites →https://doi.org/10.1137/s0363012901387136openalex-snapshot
Dynkin Games via Dirichlet Forms and Singular Control of One-Dimensional Diffusions
inferredcites →https://doi.org/10.1137/s0363012903429025openalex-snapshot
The Value of Zero-Sum Stopping Games in Continuous Time
inferredcites →https://doi.org/10.1137/s0363012903429049openalex-snapshot
Bounded Variation Singular Stochastic Control and Dynkin Game
inferredcites →https://doi.org/10.1214/009117904000000162openalex-snapshot
Two-player nonZero–sum stopping games in discrete time
inferredcites →https://doi.org/10.1214/105051606000000204openalex-snapshot
On the value of optimal stopping games
inferredcites →https://doi.org/10.1214/17-aap1301openalex-snapshot
Nash equilibria of threshold type for two-player nonzero-sum games of stopping
inferredcites →https://doi.org/10.1214/aop/1041903216openalex-snapshot
Backward stochastic differential equations with reflection and Dynkin games
inferredcites →https://doi.org/10.1214/aos/1015952000openalex-snapshot
Sequential testing problems for Poisson processes
inferredcites →https://doi.org/10.1287/moor.11.4.591openalex-snapshot
Optimal Stopping in Sequential Games With or Without a Constraint of Always Terminating
inferredcites →https://doi.org/10.1287/moor.12.2.277openalex-snapshot
A Nonzero-Sum Extension of Dynkin's Stopping Problem
inferredcites →https://doi.org/10.1287/moor.15.3.496openalex-snapshot
Continuous Time Stopping Games with Monotone Reward Structures
inferredcites →https://doi.org/10.1524/stnd.2005.23.1.15openalex-snapshot
Perpetual convertible bonds in jump-diffusion models
inferredcites →https://doi.org/10.2307/2344365openalex-snapshot
Discrete-Parameter Martingales.
inferredcites →https://doi.org/10.2307/2982988openalex-snapshot
General Theory of Markov Processes.

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.4239180openalex-extracted
Exit Game With Private Information
inferred← citeshttps://doi.org/10.1007/s13235-021-00381-4openalex-snapshot
An Impulse-Regime Switching Game Model of Vertical Competition
inferred← citeshttps://doi.org/10.1017/apr.2017.8openalex-snapshot
Nash equilibrium in nonzero-sum games of optimal stopping for Brownian motion
inferred← citeshttps://doi.org/10.1137/18m119803xopenalex-snapshot
Nonzero-Sum Games of Optimal Stopping and Generalized Nash Equilibrium Problems
inferred← citeshttps://doi.org/10.1137/21m1465044openalex-snapshot
Recursive Construction of a Nash Equilibrium in a Two-Player Nonzero-Sum Stopping Game with Asymmetric Information
inferred← citeshttps://doi.org/10.1214/17-aap1301openalex-snapshot
Nash equilibria of threshold type for two-player nonzero-sum games of stopping
inferred← citeshttps://doi.org/10.1214/21-aap1721openalex-snapshot
On the value of non-Markovian Dynkin games with partial and asymmetric information
inferred← citeshttps://doi.org/10.1214/25-aap2270openalex-snapshot
Mixed Markov-Perfect Equilibria in the Continuous-Time War of Attrition
inferred← citeshttps://doi.org/10.1287/moor.2022.0285openalex-snapshot
Exit Game with Private Information
inferred← citeshttps://doi.org/10.1287/moor.2023.0123openalex-snapshot
Nonzero-Sum Optimal Stopping Game with Continuous vs. Periodic Exercise Opportunities
inferred← citeshttps://doi.org/10.48550/arxiv.1709.01905openalex-snapshot
Nonzero-sum games of optimal stopping and generalised Nash equilibrium
inferred← citeshttps://doi.org/10.48550/arxiv.1807.03893openalex-snapshot
Stochastic Switching Games
inferred← citeshttps://doi.org/10.48550/arxiv.2107.08243openalex-snapshot
Non-zero-sum optimal stopping game with continuous versus periodic exercise opportunities
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