## Electronic Journal of Probability

### Numerical scheme for Dynkin games under model uncertainty

#### Abstract

We introduce an efficient numerical scheme for continuous time Dynkin games under model uncertainty. We use the Skorokhod embedding in order to construct recombining tree approximations. This technique allows us to determine convergence rates and to construct numerically optimal stopping strategies. We apply our method to several examples of game options.

#### Article information

Source
Electron. J. Probab., Volume 23 (2018), paper no. 74, 20 pp.

Dates
Received: 30 June 2017
Accepted: 15 July 2018
First available in Project Euclid: 27 July 2018

Permanent link to this document
https://projecteuclid.org/euclid.ejp/1532678637

Digital Object Identifier
doi:10.1214/18-EJP198

Mathematical Reviews number (MathSciNet)
MR3835480

Zentralblatt MATH identifier
06924686

#### Citation

Dolinsky, Yan; Gottesman, Benjamin. Numerical scheme for Dynkin games under model uncertainty. Electron. J. Probab. 23 (2018), paper no. 74, 20 pp. doi:10.1214/18-EJP198. https://projecteuclid.org/euclid.ejp/1532678637

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