英文标题：
《Solving finite time horizon Dynkin games by optimal switching》
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作者：
Randall Martyr
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最新提交年份：
2016
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英文摘要：
This paper uses recent results on continuous-time finite-horizon optimal switching problems with negative switching costs to prove the existence of a saddle point in an optimal stopping (Dynkin) game. Sufficient conditions for the game\'s value to be continuous with respect to the time horizon are obtained using recent results on norm estimates for doubly reflected backward stochastic differential equations. This theory is then demonstrated numerically for the special cases of cancellable call and put options in a Black-Scholes market.
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中文摘要：
本文利用最近关于具有负切换代价的连续时间有限时间最优切换问题的结果，证明了最优停止（Dynkin）对策中鞍点的存在性。利用双反射倒向随机微分方程范数估计的最新结果，得到了对策值在时间范围内连续的充分条件。然后对Black-Scholes市场中可撤销看涨期权和看跌期权的特殊情况进行了数值证明。
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分类信息：

一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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