[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 …
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 …
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 …
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 …
of a two-person game option to a contract in which an arbitrary number of parties is involved …
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 …
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 …
order, be deduced from the limit theory of two branching processes. The first is the …