Dynkin games with Poisson random intervention times
Optimization and Control
2019-07-18 v2 Mathematical Finance
Abstract
This paper introduces a new class of Dynkin games, where the two players are allowed to make their stopping decisions at a sequence of exogenous Poisson arrival times. The value function and the associated optimal stopping strategy are characterized by the solution of a backward stochastic differential equation. The paper further applies the model to study the optimal conversion and calling strategies of convertible bonds, and their asymptotics when the Poisson intensity goes to infinity.
Cite
@article{arxiv.1803.00329,
title = {Dynkin games with Poisson random intervention times},
author = {Gechun Liang and Haodong Sun},
journal= {arXiv preprint arXiv:1803.00329},
year = {2019}
}