arXiv subjects

Benjamin Gottesman

Publications and source records attributed to Benjamin Gottesman.

2 recordsLinked to original sources

arXiv2020

A Note on Costs Minimization with Stochastic Target Constraints

We study the minimization of the expected costs under stochastic constraint at the terminal time. The first and the main result says that for a power type of costs, the value function is the minimal positive solution of a second order semi--linear ordinary differential equation (ODE). Moreover, we establish the optimal control. In the second example we show that the case of exponential costs leads to a trivial optimal control.

math.PR↗

arXiv2018

Numerical Scheme for Dynkin Games under Model Uncertainty

We introduce an efficient numerical scheme for continuous time Dynkin games under model uncertainty. We use the Skorokhod embedding in order to construct recombining tree approximations. This technique allows us to determine convergence rates and to construct numerically optimal stopping strategies. We apply our method to several examples of game options.

math.PR↗