4 papers
Splitting infinity: a de Finetti game with state-dependent profit rates and singular control for diffusions
Piotr Chlebicki, Kristoffer Lindensjö
We study a game of resource extraction of a common good under one-dimensional diffusive dynamics with player actions corresponding to singular stochastic control up to absorption a…
Markovian randomized equilibria for general Markovian Dynkin games in discrete time
Sören Christensen, Kristoffer Lindensjö, Berenice Anne Neumann
We study a general formulation of the classical two-player Dynkin game in a discrete time Markovian setting. We identify an appropriate class of mixed strategies -- \textit{Markovi…
Time-inconsistent singular control problems: Reflection and Absolutely continuous controls with exploding rates
Andi Bodnariu, Kristoffer Lindensjö, Neofytos Rodosthenous
We study a time-inconsistent singular stochastic control problem for a general one-dimensional diffusion, where time-inconsistency arises from a non-exponential discount function.…
General Markovian randomized equilibrium existence and construction in zero-sum Dynkin games for diffusions
Sören Christensen, Kristoffer Lindensjö
One of the most classical games for stochastic processes is the zero-sum Dynkin (stopping) game. We present a complete equilibrium solution to a general formulation of this game wi…