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math.OC2020★ 1 cited
Risk-sensitive Dynkin games with heterogeneous Poisson random intervention times
Gechun Liang, Haodong Sun
The paper solves constrained Dynkin games with risk-sensitive criteria, where two players are allowed to stop at two independent Poisson random intervention times, via the theory o…
math.OC2018
Dynkin games with Poisson random intervention times
Gechun Liang, Haodong Sun
This paper introduces a new class of Dynkin games, where the two players are allowed to make their stopping decisions at a sequence of exogenous Poisson arrival times. The value fu…