Dynkin games with incomplete and asymmetric information
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Lakner, Peter, 1995. "Utility maximization with partial information," Stochastic Processes and their Applications, Elsevier, vol. 56(2), pages 247-273, April.
- Tiziano De Angelis & Fabien Gensbittel & St'ephane Villeneuve, 2017.
"A Dynkin game on assets with incomplete information on the return,"
Papers
1705.07352, arXiv.org, revised May 2019.
- De Angelis, Tiziano & Gensbittel, Fabien & Villeneuve, Stéphane, 2017. "A Dynkin game on assets with incomplete information on the return," TSE Working Papers 17-815, Toulouse School of Economics (TSE).
- Touzi, N. & Vieille, N., 1999.
"Continuous-Time Dynkin Games with Mixed Strategies,"
Papiers d'Economie Mathématique et Applications
1999.112, Université Panthéon-Sorbonne (Paris 1).
- Nicolas Vieille & Nizar Touzi, 2002. "Continuous-Time Dynkin Games with Mixed Strategies," Post-Print hal-00465013, HAL.
- Bing Lu, 2013. "Optimal Selling of an Asset with Jumps Under Incomplete Information," Applied Mathematical Finance, Taylor & Francis Journals, vol. 20(6), pages 599-610, December.
- Rida Laraki & Eilon Solan, 2002. "Stopping Games in Continuous Time," Discussion Papers 1354, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Lakner, Peter, 1998. "Optimal trading strategy for an investor: the case of partial information," Stochastic Processes and their Applications, Elsevier, vol. 76(1), pages 77-97, August.
- Fabien Gensbittel & Christine Grün, 2019.
"Zero-Sum Stopping Games with Asymmetric Information,"
Mathematics of Operations Research, INFORMS, vol. 44(1), pages 277-302, February.
- Gensbittel, Fabien & Grün, Christine, 2017. "Zero-sum stopping games with asymmetric information," TSE Working Papers 17-859, Toulouse School of Economics (TSE).
- Pavel V. Gapeev, 2012. "Pricing Of Perpetual American Options In A Model With Partial Information," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.),Finance at Fields, chapter 14, pages 327-347, World Scientific Publishing Co. Pte. Ltd..
- repec:dau:papers:123456789/6927 is not listed on IDEAS
- Décamps, Jean-Paul & Villeneuve, Stéphane, 2015.
"Integrating profitability prospects and cash management,"
IDEI Working Papers
849, Institut d'Économie Industrielle (IDEI), Toulouse.
- Décamps, Jean-Paul & Villeneuve, Stéphane, 2015. "Integrating profitability prospects and cash management," TSE Working Papers 15-570, Toulouse School of Economics (TSE).
- Jean-Paul Décamps & Thomas Mariotti & Stéphane Villeneuve, 2005. "Investment Timing Under Incomplete Information," Mathematics of Operations Research, INFORMS, vol. 30(2), pages 472-500, May.
- Pavel V. Gapeev, 2012. "Pricing Of Perpetual American Options In A Model With Partial Information," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(01), pages 1-21.
- Brendan Daley & Brett Green, 2012. "Waiting for News in the Market for Lemons," Econometrica, Econometric Society, vol. 80(4), pages 1433-1504, July.
- Marta Leniec & Kristoffer Glover & Erik Ekström, 2017. "Dynkin games with heterogeneous beliefs," Published Paper Series 2017-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Tomas Björk & Mark Davis & Camilla Landén, 2010. "Optimal investment under partial information," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(2), pages 371-399, April.
- repec:spr:compst:v:71:y:2010:i:2:p:371-399 is not listed on IDEAS
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Egor Starkov, 2020.
"Only Time Will Tell: Credible Dynamic Signaling,"
Discussion Papers
20-05, University of Copenhagen. Department of Economics.
- Egor Starkov, 2020. "Only Time Will Tell: Credible Dynamic Signaling," Papers 2007.09568, arXiv.org.
- Tiziano De Angelis & Nikita Merkulov & Jan Palczewski, 2020. "On the value of non-Markovian Dynkin games with partial and asymmetric information," Papers 2007.10643, arXiv.org.
- Tiziano De Angelis & Erik Ekstrom, 2019. "Playing with ghosts in a Dynkin game," Papers 1905.06564, arXiv.org.
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-GTH-2018-11-12 (Game Theory)
- NEP-MIC-2018-11-12 (Microeconomics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1810.07674. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators). General contact details of provider: http://arxiv.org/ .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.