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DYNKIN GAMES WITH POISSON RANDOM INTERVENTION TIMES.

DYNKIN GAMES WITH POISSON RANDOM INTERVENTION TIMES.

Authors :
GECHUN LIANG
HAODONG SUN
Source :
SIAM Journal on Control & Optimization. 2019, Vol. 57 Issue 4, p2962-2991. 30p.
Publication Year :
2019

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 provides a replication strategy for the game and applies the model to study the optimal conversion and calling strategies of convertible bonds, and their asymptotics when the Poisson intensity goes to infinity. [ABSTRACT FROM AUTHOR]

Details

Language :
English
ISSN :
03630129
Volume :
57
Issue :
4
Database :
Academic Search Index
Journal :
SIAM Journal on Control & Optimization
Publication Type :
Academic Journal
Accession number :
139614061
Full Text :
https://doi.org/10.1137/18M1175720