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A Zero-Sum Poisson Stopping Game with Asymmetric Signal Rates
Tekijät: Lempa Jukka, Saarinen Harto
Kustantaja: Springer
Julkaisuvuosi: 2023
Lehti: Applied Mathematics and Optimization
Tietokannassa oleva lehden nimi: Applied Mathematics and Optimization
Artikkelin numero: 35
Vuosikerta: 87
Numero: 3
eISSN: 1432-0606
DOI: https://doi.org/10.1007/s00245-022-09945-1
Julkaisun avoimuus kirjaamishetkellä: Avoimesti saatavilla
Julkaisukanavan avoimuus : Osittain avoin julkaisukanava
Verkko-osoite: https://link.springer.com/article/10.1007/s00245-022-09945-1
Rinnakkaistallenteen osoite: https://research.utu.fi/converis/portal/detail/Publication/179419733
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 This is an electronic reprint of the original article. |