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Seminar on Analysis, Differential Equations and Mathematical Physics
12 июня 2025 г. 18:00, г. Ростов-на-Дону, online


Dynkin Games for Lévy processes

É. Mordeski

Universidad de la República del Uruguay

Аннотация: We obtain a verification theorem for solving a Dynkin game driven by a Lévy process. The result requires finding two averaging functions that, composed respectively with the supremum and the infimum of the process, summed, and taken the expectation, provide the value function of the game.
The optimal stopping rules are the respective hitting times of the support sets of the averaging functions. The proof relies on fluctuation identities of the underlying Lévy process. We illustrate our result with three new simple examples, where the smooth pasting property of the solutions is not always present.
This is joint work with Laura Aspirot and Andrés Sosa: https://arxiv.org/abs/2410.23509.

Язык доклада: английский

Website: https://msrn.tilda.ws/sl


© МИАН, 2025