A Class of Solvable Stopping Games
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References listed on IDEAS
- repec:spr:compst:v:54:y:2001:i:2:p:315-337 is not listed on IDEAS
- Stéphane Villeneuve & Erik Ekstrom, 2006. "On the Value of Optimal Stopping Games," Post-Print hal-00173182, HAL.
- Yuri Kifer, 2000. "Game options," Finance and Stochastics, Springer, vol. 4(4), pages 443-463.
- Andreas Kyprianou, 2004. "Some calculations for Israeli options," Finance and Stochastics, Springer, vol. 8(1), pages 73-86, January.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Luis H. R. Alvarez E., 2006. "Minimum Guaranteed Payments and Costly Cancellation Rights: A Stopping Game Perspective," Discussion Papers 12, Aboa Centre for Economics.
- Soren Christensen, 2011. "Optimal decision under ambiguity for diffusion processes," Papers 1110.3897, arXiv.org, revised Oct 2012.
- Yuri Kifer, 2012. "Dynkin Games and Israeli Options," Papers 1209.1791, arXiv.org.
- Giorgio Ferrari & Tiziano Vargiolu, 2017. "On the Singular Control of Exchange Rates," Papers 1712.02164, arXiv.org.
More about this item
KeywordsDynkin games; linear diffusions; fundamental solutions; minimal excessive functions;
- C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
- C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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