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Stochastics and Stochastic Reports Volume 73, 2002 - Issue 1-2
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Original Articles

On a variational inequality associated with a stopping game combined with a control

Kenji Kamizono Department of Mathematics, Columbia University, New York, NY, 10027, USA
&
Hiroaki Morimoto Department of Mathematical Sciences, Faculty of Science, Ehime University, Matsuyama, Ehime, 790-0826, Japan
Pages 99-123 | Published online: 29 Oct 2010

Citations (8)

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Read on this site (3)

Jingwei Li & Guoxin Liu. (2023) Optimal dividend and stopping problems for two-dimensional compound poisson risk model. Communications in Statistics - Theory and Methods 0:0, pages 1-16.
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MrinalK. Ghosh & K.S. Mallikarjuna Rao. (2012) Existence of Value in Stochastic Differential Games of Mixed Type. Stochastic Analysis and Applications 30:5, pages 895-905.
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B. El Asri, S. Hamadène & H. Wang. (2011) L -Solutions for Doubly Reflected Backward Stochastic Differential Equations. Stochastic Analysis and Applications 29:6, pages 907-932.
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Articles from other publishers (5)

Mohamed Marzougue. (2023) Non-linear Dynkin games over split stopping times. Statistics & Probability Letters 193, pages 109721.
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Erik Ekström & Ioannis Karatzas. (2022) A sequential estimation problem with control and discretionary stopping. Probability, Uncertainty and Quantitative Risk 7:3, pages 151.
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Ioannis Karatzas & Ingrid-Mona Zamfirescu. (2008) Martingale approach to stochastic differential games of control and stopping. The Annals of Probability 36:4.
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Yang Bing, Yang Yanrong & Meng Lina. (2008) Some optimal stopping problems for pricing game options. Some optimal stopping problems for pricing game options.
S. Hamadène & M. Hassani. (2004) BSDEs with two reflecting barriers : the general result. Probability Theory and Related Fields 132:2, pages 237-264.
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