1 citations · 1 across the 5 of their papers we have counts for
5 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…
Optimal Stopping of BSDEs with Constrained Jumps and Related Double Obstacle PDEs
Magnus Perninge
We consider partial differential equations (PDEs) characterized by an upper barrier that depends on the solution itself and a fixed lower barrier, while accommodating a non-local d…