The controller-and-stopper game for a linear diffusion

By Ioannis Karatzas, W. Sudderth. 2001

59 citations recorded by the source corpus.

Subfields: Applied Mathematics, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/da5334bf59c2f831994319869547d4aca9707518

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Applied Mathematics

1. Jianfeng Zhang
2. Marcel Nutz

In Economics and Econometrics

1. Marcel Nutz
2. Jianfeng Zhang
3. Shige Peng

In Finance

1. Marcel Nutz
2. Jianfeng Zhang
3. Ariel Neufeld
4. Nizar Touzi
5. Bruno Bouchard
6. Shige Peng
7. Adrien Richou
8. Christian Bender

Citations in the corpus

• Optimal stopping under adverse nonlinear expectation and related games (2012, background): “On the other hand, [16] studied a linear diffusion valued in the unit interval with absorbing boundaries and found, based on scale-function arguments, rather explicit formulas for the value and a saddle point.”