10 citations · 35 across the 17 of their papers we have counts for
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math.PR2020
On Dynkin Games with Unordered Payoff Processes
Ivan Guo
A Dynkin game is a zero-sum, stochastic stopping game between two players where either player can stop the game at any time for an observable payoff. Typically the payoff process o…
math.PR2018
Path Dependent Optimal Transport and Model Calibration on Exotic Derivatives
Ivan Guo, Gregoire Loeper
In this paper, we introduce and develop the theory of semimartingale optimal transport in a path dependent setting. Instead of the classical constraints on marginal distributions,…
math.PR2014
Stochastic Multi-player Competitive Games in Discrete Time
Ivan Guo, Marek Rutkowski
A new class of multi-player competitive stochastic games in discrete-time with an affine specification of the redistribution of payoffs at exercise is proposed and examined. Our ga…