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Dynkin games with Poisson random intervention times
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Liang, Gechun and Sun, Haodong (2019) Dynkin games with Poisson random intervention times. SIAM Journal on Control and Optimization, 57 (4). pp. 2962-2991. doi:10.1137/18M1175720 ISSN 0363-0129.
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Official URL: https://doi.org/10.1137/18M1175720
Abstract
This paper introduces a new class of Dynkin games, where the two players are allowed to make their stopping decisions at a sequence of exogenous Poisson arrival times. The value function and the associated optimal stopping strategy are characterized by the solution of a backward stochastic differential equation. The paper further provides a replication strategy for the game and applies the model to study the optimal conversion and calling strategies of convertible bonds, and their asymptotics when the Poisson intensity goes to infinity.
Item Type: | Journal Article | |||||||||
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Subjects: | Q Science > QA Mathematics | |||||||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | |||||||||
Library of Congress Subject Headings (LCSH): | Dynkin diagrams, Poisson algebras , Poisson processes, Doubly stochastic, Stochastic control theory | |||||||||
Journal or Publication Title: | SIAM Journal on Control and Optimization | |||||||||
Publisher: | Society for Industrial and Applied Mathematics | |||||||||
ISSN: | 0363-0129 | |||||||||
Official Date: | 22 August 2019 | |||||||||
Dates: |
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Volume: | 57 | |||||||||
Number: | 4 | |||||||||
Page Range: | pp. 2962-2991 | |||||||||
DOI: | 10.1137/18M1175720 | |||||||||
Status: | Peer Reviewed | |||||||||
Publication Status: | Published | |||||||||
Reuse Statement (publisher, data, author rights): | “First Published in Liang, Gechun and Sun, Haodong (2019) Dynkin games with Poisson random intervention times. SIAM Journal on Control and Optimization, 57 (4). pp. 2962-2991. doi:10.1137/18M1175720 published by the Society for Industrial and Applied Mathematics (SIAM)” | |||||||||
Access rights to Published version: | Restricted or Subscription Access | |||||||||
Copyright Holders: | © 2019, Society for Industrial and Applied Mathematics | |||||||||
Date of first compliant deposit: | 21 August 2019 | |||||||||
Date of first compliant Open Access: | 23 August 2019 | |||||||||
RIOXX Funder/Project Grant: |
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