Toward the late 1990s, several research groups independently began developing new, related theories in mathematical finance. These theories did away with the standard stochastic geometric diffusion "Samuelson" market model (also known as the Black-Scholes model because it is used in that most...

We investigate an impulse control differential game arising in a problem of option pricing in mathematical finance. In a previous paper, it was shown that its Value function in ℝ3 could be described as a pair of functions affine in one of the variables, joined on a 2D manifold. Depending on...