Martingale approach to stochastic differential games of control and stopping.
By Ioannis Karatzas, I. Zamfirescu. 2008
73 citations recorded by the source corpus.
We develop a martingale approach for studying continuous-time stochastic differential games of control and stopping, in a non-Markovian framework and with the control affecting only the drift term of the state-process. Under appropriate conditions, we show that the game has a value and construct a saddle pair of optimal control and stopping strategies. Crucial in this construction is a characterization of saddle pairs in terms of pathwise and martingale properties of suitable quantities.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/cb2b4071c5ce73a0049aa2a46dcb553c30f3a15f
How researchers see this paper
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In Economics and Econometrics
- Marcel Nutz
- Jianfeng Zhang
- Erhan Bayraktar
- Song Yao
- Ioannis Karatzas
- Marie Claire Quenez
- Gordan Zitkovic
- Shige Peng
In Finance
- Marcel Nutz
- Jianfeng Zhang
- Erhan Bayraktar
- Ioannis Karatzas
- Song Yao
- Nizar Touzi
- Bruno Bouchard
- Ariel Neufeld
Citations in the corpus
- Optimal stopping under adverse nonlinear expectation and related games (2012, background): “[18] and the references therein; this again corresponds to the dominated situation.”
- Optimal Stopping for Dynamic Convex Risk Measures (2009, methodology): “On the other hand, in finding a saddle point, the authors of [15] used the weak compactness of the”
- Optimal stopping for non-linear expectations—Part I (2011, unknown): “Our work was inspired by [10,11], who developed a martingale approach to solving (1.”