1 citations · 1 across the 1 of their papers we have counts for
2 papers
math.OC2024
Zero-sum Dynkin games under common and independent Poisson constraints
David Hobson, Gechun Liang, Edward Wang
Zero-sum Dynkin games under Poisson constraints, where players can only stop at the event times of a Poisson process, have been studied widely in the recent literature. The constra…
q-fin.MF2021★ 1 cited
Callable convertible bonds under liquidity constraints and hybrid priorities
David Hobson, Gechun Liang, Edward Wang
This paper investigates the callable convertible bond problem in the presence of a liquidity constraint modelled by Poisson signals. We assume that neither the bondholder nor the f…