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  1. Applied Mathematics and Optimization
  2. Applied Mathematics and Optimization : Volume 58
  3. Applied Mathematics and Optimization : Volume 58, Issue 3, December 2008
  4. A Class of Solvable Stopping Games
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Applied Mathematics and Optimization : Volume 75
Applied Mathematics and Optimization : Volume 74
Applied Mathematics and Optimization : Volume 73
Applied Mathematics and Optimization : Volume 72
Applied Mathematics and Optimization : Volume 71
Applied Mathematics and Optimization : Volume 70
Applied Mathematics and Optimization : Volume 69
Applied Mathematics and Optimization : Volume 68
Applied Mathematics and Optimization : Volume 67
Applied Mathematics and Optimization : Volume 66
Applied Mathematics and Optimization : Volume 65
Applied Mathematics and Optimization : Volume 64
Applied Mathematics and Optimization : Volume 63
Applied Mathematics and Optimization : Volume 62
Applied Mathematics and Optimization : Volume 61
Applied Mathematics and Optimization : Volume 60
Applied Mathematics and Optimization : Volume 59
Applied Mathematics and Optimization : Volume 58
Applied Mathematics and Optimization : Volume 58, Issue 3, December 2008
A Class of Solvable Stopping Games
On the Rate of Convergence of the Finite-Difference Approximations for Parabolic Bellman Equations with Constant Coefficients
A Penalization Approach for Tomographic Reconstruction of Binary Axially Symmetric Objects
On Factorizations of Smooth Nonnegative Matrix-Values Functions and on Smooth Functions with Values in Polyhedra
Asymptotic Solutions of Hamilton-Jacobi Equations with State Constraints
Finite Time Merton Strategy under Drawdown Constraint: A Viscosity Solution Approach
Applied Mathematics and Optimization : Volume 58, Issue 2, October 2008
Applied Mathematics and Optimization : Volume 58, Issue 1, August 2008
Applied Mathematics and Optimization : Volume 57
Applied Mathematics and Optimization : Volume 56
Applied Mathematics and Optimization : Volume 55
Applied Mathematics and Optimization : Volume 54
Applied Mathematics and Optimization : Volume 53
Applied Mathematics and Optimization : Volume 52
Applied Mathematics and Optimization : Volume 51
Applied Mathematics and Optimization : Volume 50
Applied Mathematics and Optimization : Volume 49
Applied Mathematics and Optimization : Volume 48
Applied Mathematics and Optimization : Volume 47
Applied Mathematics and Optimization : Volume 46
Applied Mathematics and Optimization : Volume 45
Applied Mathematics and Optimization : Volume 44
Applied Mathematics and Optimization : Volume 43
Applied Mathematics and Optimization : Volume 42
Applied Mathematics and Optimization : Volume 41
Applied Mathematics and Optimization : Volume 40
Applied Mathematics and Optimization : Volume 39
Applied Mathematics and Optimization : Volume 38
Applied Mathematics and Optimization : Volume 37
Applied Mathematics and Optimization : Volume 36
Applied Mathematics and Optimization : Volume 35

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A Class of Solvable Stopping Games

Content Provider Springer Nature Link
Author Alvarez, Luis H. R.
Copyright Year 2008
Abstract We consider a class of Dynkin games in the case where the underlying process evolves according to a one-dimensional but otherwise general diffusion. We establish general conditions under which both the value and the saddle point equilibrium exist and under which the exercise boundaries characterizing the saddle point strategy can be explicitly characterized in terms of a pair of standard first order necessary conditions for optimality. We also analyze those cases where an extremal pair of boundaries exists and investigate the overall impact of increased volatility on the equilibrium stopping strategies and their values.
Starting Page 291
Ending Page 314
Page Count 24
File Format PDF
ISSN 00954616
Journal Applied Mathematics and Optimization
Volume Number 58
Issue Number 3
e-ISSN 14320606
Language English
Publisher Springer-Verlag
Publisher Date 2008-01-18
Publisher Place New York
Access Restriction One Nation One Subscription (ONOS)
Subject Keyword Dynkin games Linear diffusions Fundamental solutions Minimal excessive functions Numerical and Computational Methods Mathematical Methods in Physics Mathematical and Computational Physics Systems Theory, Control Calculus of Variations and Optimal Control; Optimization
Content Type Text
Resource Type Article
Subject Applied Mathematics Control and Optimization
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