论文标题
带有异质泊松随机干预时间的风险敏感的Dynkin游戏
Risk-sensitive Dynkin games with heterogeneous Poisson random intervention times
论文作者
论文摘要
该论文以风险敏感的标准解决了受约束的Dynkin游戏，其中允许两个玩家通过向后的随机差分方程理论在两个独立的泊松随机干预时间停止。这概括了先前的[Liang and Sun，Sun，Dynkin游戏，带有Poisson随机干预时间，关于控制和优化的Siam Journal of Control和2019]，来自风险中性的标准和参与者对风险敏感标准和两个异质信号时间的参与者的常见信号时间。此外，该论文通过Krylov的随机停止技术建立了这种约束风险敏感的Dynkin游戏与一类随机差异游戏的联系。
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 of backward stochastic differential equations. This generalizes the previous work of [Liang and Sun, Dynkin games with Poisson random intervention times, SIAM Journal on Control and Optimization, 2019] from the risk-neutral criteria and common signal times for both players to the risk-sensitive criteria and two heterogenous signal times. Furthermore, the paper establishes a connection of such constrained risk-sensitive Dynkin games with a class of stochastic differential games via Krylov's randomized stopping technique.
