随机时间逐级放大过滤下的Dynkin博弈

IF 0.7 4区数学 Q3 STATISTICS & PROBABILITY

Statistics & Probability Letters Pub Date : 2026-06-01 Epub Date: 2026-02-10 DOI:10.1016/j.spl.2026.110686

Badr Elmansouri , Mohamed Marzougue , Mohamed El Jamali

引用次数: 0

摘要

本文刻画并建立了一类Dynkin对策在参考滤波F随随机时间τ（不一定是F停止时间）逐级增大G下的值过程之间的显式关系。我们证明了在G中解决估价问题可以简化为在F中解决一个相关的定价问题。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Dynkin games under progressive enlargement of filtration with random time

This paper characterizes and establishes an explicit relationship between the value processes of a class of Dynkin games under the progressive enlargement

G

of a reference filtration

F

by a random time

τ

, which is not necessarily an

F

-stopping time. We prove that solving the valuation problem in

G

reduces to solving an associated pricing problem in

F

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来源期刊

Statistics & Probability Letters 数学-统计学与概率论

CiteScore

1.60

自引率

0.00%

发文量

173

审稿时长

6 months

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