4 papers
A Nonlinear Snell Envelope Representation for Path-Dependent Controller-Stopper Games
Magnus Perninge
We consider a finite-horizon, zero-sum stochastic differential game in which one player controls a path-dependent stochastic system, while the opponent is given the opportunity to…
Feedback stopping rules in path-dependent controller-stopper games
Magnus Perninge
We investigate finite-horizon, zero-sum controller-stopper games in which the stopper observes the state process and implements a feedback stopping rule. Building on a nonlinear Sn…
Zero-sum Stochastic Differential Games of Impulse Control with Random Intervention Costs
Magnus Perninge
We consider a finite-horizon, zero-sum game in which both players control a stochastic differential equation by invoking impulses. We derive a control randomization formulation of…
Probabilistic Representation for Viscosity Solutions to Double-Obstacle Quasi-Variational Inequalities
Magnus Perninge
We prove the existence and uniqueness of viscosity solutions to quasi-variational inequalities (QVIs) with both upper and lower obstacles. In contrast to most previous works, we al…