Zobrazeno 1 - 10
of 63
pro vyhledávání: '"Lindensjö, Kristoffer"'
One of the most classical games for stochastic processes is the zero-sum Dynkin (stopping) game. We present a complete equilibrium solution to a general formulation of this game with an underlying one-dimensional diffusion. A key result is the constr
Externí odkaz:
http://arxiv.org/abs/2412.09087
We study a general formulation of the classical two-player Dynkin game in a Markovian discrete time setting. We show that an appropriate class of mixed, i.e., randomized, strategies in this context are \textit{Markovian randomized stopping times}, wh
Externí odkaz:
http://arxiv.org/abs/2307.13413
Autor:
Bodnariu, Andi, Lindensjö, Kristoffer
We consider a continuous time stochastic dynamic game between a stopper (Player $1$, the \textit{owner} of an asset yielding an income) and a controller (Player $2$, the \textit{manager} of the asset), where the manager is either effective or non-eff
Externí odkaz:
http://arxiv.org/abs/2307.01623
We consider the game-theoretic approach to time-inconsistent stopping of a one-dimensional diffusion where the time-inconsistency is due to the presence of a non-exponential (weighted) discount function. In particular, we study (weak) equilibria for
Externí odkaz:
http://arxiv.org/abs/2206.15124
Autor:
Bodnariu, Andi, Lindensjö, Kristoffer
Publikováno v:
In Stochastic Processes and their Applications July 2024 173
Autor:
Ekström, Erik, Lindensjö, Kristoffer
We investigate the effects of competition in a problem of resource extraction from a common source with diffusive dynamics. In the symmetric version with identical extraction rates we prove the existence of a Nash equilibrium where the strategies are
Externí odkaz:
http://arxiv.org/abs/2106.04860
We consider a stochastic game of control and stopping specified in terms of a process $X_t=-\theta \Lambda_t+W_t$, representing the holdings of Player 1, where $W$ is a Brownian motion, $\theta$ is a Bernoulli random variable indicating whether Playe
Externí odkaz:
http://arxiv.org/abs/2010.03619
For a discrete time Markov chain and in line with Strotz' consistent planning we develop a framework for problems of optimal stopping that are time-inconsistent due to the consideration of a non-linear function of an expected reward. We consider pure
Externí odkaz:
http://arxiv.org/abs/1909.11921
A moment constraint that limits the number of dividends in the optimal dividend problem is suggested. This leads to a new type of time-inconsistent stochastic impulse control problem. First, the optimal solution in the precommitment sense is derived.
Externí odkaz:
http://arxiv.org/abs/1909.10749
Autor:
Lindensjö, Kristoffer, Lindskog, Filip
We study a singular stochastic control problem faced by the owner of an insurance company that dynamically pays dividends and raises capital in the presence of the restriction that the surplus process must be above a given dividend payout barrier in
Externí odkaz:
http://arxiv.org/abs/1902.06294