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arXiv · 2008.01787

Risk-sensitive Dynkin games with heterogeneous Poisson random intervention times

Gechun Liang·Haodong Sun
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Abstract

The paper solves constrained Dynkin games with risk-sensitive criteria, where two players are allowed to stop at two independent Poisson random intervention times, via the theory of backward stochastic differential equations. This generalizes the previous work of [Liang and Sun, Dynkin games with Poisson random intervention times, SIAM Journal on Control and Optimization, 2019] from the risk-neutral criteria and common signal times for both players to the risk-sensitive criteria and two heterogenous signal times. Furthermore, the paper establishes a connection of such constrained risk-sensitive Dynkin games with a class of stochastic differential games via Krylov's randomized stopping technique.

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Gechun Liang, Haodong Sun. 2020-08-04. Risk-sensitive Dynkin games with heterogeneous Poisson random intervention times. https://arxiv.org/abs/2008.01787

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