Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection

Tianyang Nie and Marek Rutkowski

Stochastic Processes and their Applications, 2014, vol. 124, issue 8, 2672-2698

Abstract: 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-time frameworks. Our goal is to provide an essential extension of classic results for two-player stopping games (Dynkin games) to the multi-player framework. We show the link between certain multi-period m-player stopping games and a new kind of m-dimensional reflected BSDEs. The existence and uniqueness of a solution to continuous-time reflected BSDEs are established. Continuous-time redistribution games are constructed with the help of reflected BSDEs and a characterization of the value of such stopping games is provided.

Keywords: Multi-player game; Redistribution game; Stopping game; BSDE; Oblique reflection (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:124:y:2014:i:8:p:2672-2698

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DOI: 10.1016/j.spa.2014.03.009

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