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DYNKIN GAMES WITH POISSON RANDOM INTERVENTION TIMES.
DYNKIN GAMES WITH POISSON RANDOM INTERVENTION TIMES.
- 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]
- Subjects :
- *CONVERTIBLE bonds
*STOCHASTIC differential equations
*STRATEGY games
*GAMES
Subjects
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