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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

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Official URL: https://doi.org/10.1137/18M1175720

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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
Subjects: Q Science > QA Mathematics
Divisions: Faculty of 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:
DateEvent
22 August 2019Published
16 July 2019Accepted
Volume: 57
Number: 4
Page Range: pp. 2962-2991
DOI: 10.1137/18M1175720
Status: Peer Reviewed
Publication Status: Published
Publisher Statement: “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
RIOXX Funder/Project Grant:
Project/Grant IDRIOXX Funder NameFunder ID
170137Royal Societyhttp://dx.doi.org/10.13039/501100000288
11771158[NSFC] National Natural Science Foundation of Chinahttp://dx.doi.org/10.13039/501100001809

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