A1 Refereed original research article in a scientific journal

A Zero-Sum Poisson Stopping Game with Asymmetric Signal Rates




AuthorsLempa Jukka, Saarinen Harto

PublisherSpringer

Publication year2023

JournalApplied Mathematics and Optimization

Journal name in sourceApplied Mathematics and Optimization

Article number35

Volume87

Issue3

eISSN1432-0606

DOIhttps://doi.org/10.1007/s00245-022-09945-1

Web address https://link.springer.com/article/10.1007/s00245-022-09945-1

Self-archived copy’s web addresshttps://research.utu.fi/converis/portal/detail/Publication/179419733


Abstract

The objective of this paper is to study a class of zero-sum optimal stopping games of diffusions under a so-called Poisson constraint: the players are allowed to stop only at the arrival times of their respective Poissonian signal processes. These processes can have different intensities, which makes the game setting asymmetric. We give a weak and easily verifiable set of sufficient condition under which we derive a semi-explicit solution to the game in terms of the minimal r-excessive functions of the diffusion. We also study limiting properties of the solutions with respect to the signal intensities and illustrate our main findings with explicit examples.


Downloadable publication

This is an electronic reprint of the original article.
This reprint may differ from the original in pagination and typographic detail. Please cite the original version.





Last updated on 2025-27-03 at 21:46