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作者：Sorin, Sylvain
作者单位：Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Universite Paris Cite; Sorbonne Universite
摘要：We consider two-person zero-sum games where the players control, at discrete times {t(n)} induced by a partition Pi of R+, a continuous time Markov process. We prove that the limit of the values v(Pi) exist as the mesh of Pi goes to 0. The analysis covers the cases of (1) stochastic games (where both players know the state), and (2) games with unknown state and symmetric signals. The proof is by reduction to deterministic differential games.
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作者：De Angelis, Tiziano; Kitapbayev, Yerkin
作者单位：University of Leeds; Boston University
摘要：We use probabilistic methods to characterise time-dependent optimal stopping boundaries in a problem of multiple optimal stopping on a finite time horizon. Motivated by financial applications, we consider a payoff of immediate stopping of put type, and the underlying dynamics follows a geometric Brownian motion. The optimal stopping region relative to each optimal stopping time is described in terms of two boundaries, which are continuous, monotonic functions of time and uniquely solve a syste...
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作者：Karmakar, Prasenjit; Bhatnagar, Shalabh
作者单位：Indian Institute of Science (IISC) - Bangalore
摘要：We present for the first time an asymptotic convergence analysis of two time-scale stochastic approximation driven by controlled Markov noise. In particular, the faster and slower recursions have nonadditive controlled Markov noise components in addition to martingale difference noise. We analyze the asymptotic behavior of our framework by relating it to limiting differential inclusions in both time scales that are defined in terms of the ergodic occupation measures associated with the control...
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作者：Chambers, Christopher P.; Echenique, Federico
作者单位：Georgetown University; California Institute of Technology
摘要：We prove that combinatorial demand functions are characterized by two properties: continuity and the law of demand.
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作者：Kelly, Frank; Yudovina, Elena
作者单位：University of Cambridge; University of Minnesota System; University of Minnesota Twin Cities
摘要：We analyze a tractable model of a limit order book on short time scales, where the dynamics are driven by stochastic fluctuations between supply and demand. We establish the existence of a limiting distribution for the highest bid, and for the lowest ask, where the limiting distributions are confined between two thresholds. We make extensive use of fluid limits to establish recurrence properties of the model. We use the model to analyze various high-frequency trading strategies, and comment on...
