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Description
After a short introduction of different types of stochastic control problems (optimal stopping, impulse control, ruin probabilities and Dynkin games) we present the solution of a Dynkin Game in which two players can stop an underlying Lévy process, obtaining each a different reward. The solution for a certain class of processes can be obtained through the Wiener-Hopf factorization of the process. Examples with closed solutions are presented, and an application in mathematical finance also (a perpetual callable futures contract)
It is joint work with Laura Aspirot and Andrés Sosa.