4 citations · 10 across the 11 of their papers we have counts for
13 papers
Optimal Stopping of BSDEs with Constrained Jumps and Related Zero-Sum Games
Magnus Perninge
In this paper, we introduce a non-linear Snell envelope which at each time represents the maximal value that can be achieved by stopping a BSDE with constrained jumps. We establish…
Probabilistic Representation of Viscosity Solutions to Quasi-Variational Inequalities with Non-Local Drivers
Magnus Perninge
We consider quasi-variational inequalities (QVIs) with general non-local drivers and related systems of reflected backward stochastic differential equations (BSDEs) in a Brownian f…
Non-Markovian Impulse Control Under Nonlinear Expectation
Magnus Perninge
We consider a general type of non-Markovian impulse control problems under adverse non-linear expectation or, more specifically, the zero-sum game problem where the adversary playe…
Zero-sum Stochastic Differential Games of Impulse Versus Continuous Control by FBSDEs
Magnus Perninge
We consider a stochastic differential game in the context of forward-backward stochastic differential equations, where one player implements an impulse control while the opponent c…
Finite Horizon Robust Impulse Control in a Non-Markovian Framework and Related Systems of Reflected BSDEs
Magnus Perninge
We consider a robust impulse control problem in finite horizon where the underlying uncertainty stems from an impulsively and continuously controlled functional stochastic differen…
A Note on Reflected BSDEs in Infinite Horizon with Stochastic Lipschitz Coefficients
Magnus Perninge
We consider an infinite horizon, obliquely reflected backward stochastic differential equation (RBSDE). The main contribution of the present work is that we generalize previous res…