Solving finite time horizon Dynkin games by optimal switching
نویسندگان
چکیده
منابع مشابه
Solving finite time horizon Dynkin games by optimal switching
This paper uses recent results on continuous-time finite-horizon optimal switching problems with negative switching costs to prove the existence of a saddle point in an optimal stopping (Dynkin) game. Sufficient conditions for the game’s value to be continuous with respect to the time horizon are obtained using recent results on norm estimates for doubly reflected backward stochastic differenti...
متن کاملA Finite Horizon Optimal Multiple Switching Problem
We consider the problem of optimal multiple switching in finite horizon, when the state of the system, including the switching costs, is a general adapted stochastic process. The problem is formulated as an extended impulse control problem and completely solved using probabilistic tools such as the Snell envelop of processes and reflected backward stochastic differential equations. Finally, whe...
متن کاملDynamic Programming for Discrete-Time Finite Horizon Optimal Switching Problems with Negative Switching Costs
This paper studies a discrete-time optimal switching problem on a finite horizon. The underlying model has a running reward, terminal reward and signed (positive and negative) switching costs. Using the martingale approach to optimal stopping problems, we extend a well known explicit dynamic programming method for computing the value function and the optimal strategy to the case of signed switc...
متن کاملOptimal Switching in Finite Horizon under State Constraints
We study an optimal switching problem with a state constraint: the controller is only allowed to choose strategies that keep the controlled diffusion in a closed domain. We prove that the value function associated with this problem is the limit of value functions associated with unconstrained switching problems with penalized coefficients, as the penalization parameter goes to infinity. This co...
متن کاملContinuous-Time Dynkin Games with Mixed Strategies
Let (X,Y, Z) be a triple of payoff processes defining a Dynkin game R̃(σ, τ) = E [ Xσ1{τ>σ} + Yτ1{τ<σ} + Zτ1{τ=σ} ] , where σ and τ are stopping times valued in [0, T ]. In the case Z = Y , it is well known that the condition X ≤ Y is needed in order to establish the existence of value for the game, i.e., infτ supσ R̃(σ, τ) = supσ infτ R̃(σ, τ). In order to remove the condition X ≤ Y , we introduc...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2016
ISSN: 0021-9002,1475-6072
DOI: 10.1017/jpr.2016.57