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SIAMCO
2010
105views more  SIAMCO 2010»
13 years 10 months ago
The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options
In this paper we study the nonzero-sum Dynkin game in continuous time, which is a two-player noncooperative game on stopping times. We show that it has a Nash equilibrium point for...
Said Hamadène, Jianfeng Zhang
SIAMCO
2010
66views more  SIAMCO 2010»
13 years 10 months ago
Regression Methods for Stochastic Control Problems and Their Convergence Analysis
Denis Belomestny, Anastasia Kolodko, John Schoenma...
SIAMCO
2010
93views more  SIAMCO 2010»
13 years 10 months ago
Dynamic Vehicle Routing with Priority Classes of Stochastic Demands
In this paper we introduce a dynamic vehicle routing problem in which there are multiple vehicles and multiple priority classes of service demands. Service demands of each priority...
Stephen L. Smith, Marco Pavone, Francesco Bullo, E...