Risk-sensitive Dynkin games with heterogeneous Poisson random intervention times

2020/08/04 by Gechun Liang, Liang, Gechun, Haodong Sun +1
Economics, Econometrics and Finance · Social Sciences · #60H30 #91A15 #91A55 #Climate Change Policy and Economics #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Optimization and Control (math.OC) #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2008.01787

openalex publication_date 2020/08/04 · openalex created_date 2020/08/10 · openalex updated_date 2026/07/28

Abstract

The paper solves constrained Dynkin games with risk-sensitive criteria, where two players are allowed to stop at two independent Poisson random intervention times, via the theory of backward stochastic differential equations. This generalizes the previous work of [Liang and Sun, Dynkin games with Poisson random intervention times, SIAM Journal on Control and Optimization, 2019] from the risk-neutral criteria and common signal times for both players to the risk-sensitive criteria and two heterogenous signal times. Furthermore, the paper establishes a connection of such constrained risk-sensitive Dynkin games with a class of stochastic differential games via Krylov's randomized stopping technique.

Citations

• Nash equilibria of threshold type for two-player nonzero-sum games of\n stopping

Related

• Dynkin games with Poisson random intervention times
• Zero-sum Dynkin games under common and independent Poisson constraints
• Dynkin Game of Stochastic Differential Equations with Random Coefficients, and Associated Backward Stochastic Partial Differential Variational Inequality
• On the Robust Dynkin Game
• On the existence of Markovian randomized equilibria in Dynkin games of war-of-attrition-type