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Optimal Stopping Games for Markov Processes

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References

2006Optimal stopping and free-boundary problems1,068 cited
2000Game options204 cited
1984Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski115 cited
1977Nonzero-Sum Stochastic Differential Games With Stopping Times and Free Boundary Problems108 cited
1974Nonlinear variational inequalities and differential games with stopping times103 cited
2004Some calculations for Israeli options99 cited

Cited by

2010The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options84 cited
2009Optimal Stopping Games and Nash Equilibrium59 cited
2018On Finding Equilibrium Stopping Times for Time-Inconsistent Markovian Problems50 cited
2013Dynkin's Games and Israeli Options45 cited
2008The McKean stochastic game driven by a spectrally negative Lévy process40 cited
2009The Shepp–Shiryaev Stochastic Game Driven by a Spectrally Negative Lévy Process39 cited
2004Further calculations for Israeli options34 cited
2008A Class of Solvable Stopping Games31 cited
2013On Dynkin Games with Incomplete Information30 cited

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2014

A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysis

30 cited

2012American step-up and step-down default swaps under Lévy models26 cited

2013Dynkin Game of Stochastic Differential Equations with Random Coefficients and Associated Backward Stochastic Partial Differential Variational Inequality26 cited

2012GAME CALL OPTIONS REVISITED25 cited

2011Penalty Method for Finite Horizon Stopping Problems23 cited

2011The Gapeev–Kühn stochastic game driven by a spectrally positive Lévy process23 cited

2012A Dynkin game with asymmetric information22 cited