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SIAMCO
2010
105views more  SIAMCO 2010»
13 years 2 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 2 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 2 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...