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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
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 | ||||||
|---|---|---|---|---|---|---|---|
| Divisions: | Faculty of Science > Statistics | ||||||
| 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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| Date of first compliant deposit: | 21 August 2019 | ||||||
| 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 |
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