Dynkin games for Markov processes associated with semi-Dirichlet forms
Probability
2023-04-26 v1 Optimization and Control
Abstract
We consider Dynkin games for Markov processes associated with semi-Dirichlet forms. Dynkin games are the optimal stopping games introduced as the models of zero-sum games by two players. We prove that the solution to the certain variational inequality with two obstacles is the equilibrium price of the Dynkin game. Moreover, we obtain the saddle point of the game.
Cite
@article{arxiv.2304.11897,
title = {Dynkin games for Markov processes associated with semi-Dirichlet forms},
author = {Takumu Ooi and Toshihiro Uemura},
journal= {arXiv preprint arXiv:2304.11897},
year = {2023}
}
Comments
14 pages