2 papers
math.PR2024
Dynkin Games for Lévy Processes
Laura Aspirot, Ernesto Mordecki, Andres Sosa
We obtain a verification theorem for solving a Dynkin game driven by a Lévy process. The result requires finding two averaging functions that, composed respectively with the suprem…
math.PR2024
Two sided long-time optimization singular control problems for Lévy processes and Dynkin's games
Ernesto Mordecki, Facundo Oliú
A relationship between two sided discounted singular control problems and Dynkin games is established for real valued Lévy processes. In addition, the solution of a two-sided ergod…