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most citedOptimal Stopping of BSDEs with Constrained Jumps and Related Double Obstacle PDEs

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math.OC2025

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…