3 papers
math.OC2023
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…
math.OC2022
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…
math.OC2021
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…