Discrete-time multi-player stopping and quitting games with redistribution of payoffs

I Guo, M Rutkowski - Arbitrage, Credit and Informational Risks, 2014 - World Scientific
A novel class of multi-period multi-player competitive stopping games with redistribution of
payoffs is constructed. Each player can either exit the game for a fixed payoff, determined a …

[HTML][HTML] Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection

T Nie, M Rutkowski - Stochastic Processes and their Applications, 2014 - Elsevier
We examine the connections between a novel class of multi-person stopping games with
redistribution of payoffs and multi-dimensional reflected BSDEs in discrete-and continuous …

Arbitrage pricing of multi-person game contingent claims

I Guo, M Rutkowski - arXiv preprint arXiv:1405.2718, 2014 - arxiv.org
We introduce a class of financial contracts involving several parties by extending the notion
of a two-person game option (see Kifer (2000)) to a contract in which an arbitrary number of …

[HTML][HTML] Discrete time stochastic multi-player competitive games with affine payoffs

I Guo, M Rutkowski - Stochastic Processes and their Applications, 2016 - Elsevier
A novel class of multi-player competitive stochastic games in discrete-time with an affine
specification of the redistribution of payoffs at exercise is examined. The affine games cover …

Arbitrage-free pricing of multi-person game claims in discrete time

I Guo, M Rutkowski - Finance and Stochastics, 2017 - Springer
We introduce a class of financial contracts involving several parties by extending the notion
of a two-person game option to a contract in which an arbitrary number of parties is involved …

Unilaterally competitive multi-player stopping games

I Guo - arXiv preprint arXiv:1211.4113, 2012 - arxiv.org
A multi-player competitive Dynkin stopping game is constructed. Each player can either exit
the game for a fixed payoff, determined a priori, or stay and receive an adjusted payoff …

Stochastic multi-player competitive games in discrete time

I Guo, M Rutkowski - arXiv preprint arXiv:1405.2716, 2014 - arxiv.org
A new class of multi-player competitive stochastic games in discrete-time with an affine
specification of the redistribution of payoffs at exercise is proposed and examined. Our …

[PDF][PDF] Fourth Wellington Workshop

A Barbour - Victoria, 2013 - sms.wgtn.ac.nz
The asymptotic behaviour of many locally branching epidemic models can, at least to first
order, be deduced from the limit theory of two branching processes. The first is the …

[PDF][PDF] Multi-Person Game Options in Discrete and Continuous Time

M Rutkowski - bcc.impan.pl
Multi-Person Game Options in Discrete and Continuous Time 13 pt Page 1 Multi-Person
Game Options in Discrete and Continuous Time Marek Rutkowski School of Mathematics …

[引用][C] Multi-person affine stochastic stopping games in discrete time

I Guo, M Rutkowski - 2013 - Working paper, University of Sydney