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A Zero-Sum Poisson Stopping Game with Asymmetric Signal Rates




TekijätLempa Jukka, Saarinen Harto

KustantajaSpringer

Julkaisuvuosi2023

JournalApplied Mathematics and Optimization

Tietokannassa oleva lehden nimiApplied Mathematics and Optimization

Artikkelin numero35

Vuosikerta87

Numero3

eISSN1432-0606

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

Verkko-osoitehttps://link.springer.com/article/10.1007/s00245-022-09945-1

Rinnakkaistallenteen osoitehttps://research.utu.fi/converis/portal/detail/Publication/179419733


Tiivistelmä

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.


Ladattava julkaisu

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