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 …
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 …
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 …
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 …
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 …
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 …
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 …
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 …