Non-linear Non-zero-Sum Dynkin Games with Bermudan Strategies

Miryana Grigorova (), Marie-Claire Quenez and Peng Yuan
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Miryana Grigorova: University of Warwick
Marie-Claire Quenez: Université Paris-Cité
Peng Yuan: University of Warwick

Journal of Optimization Theory and Applications, 2025, vol. 206, issue 1, No 3, 20 pages

Abstract: Abstract In this paper, we study a non-zero-sum game with two players, where each of the players plays what we call Bermudan strategies and optimizes a general non-linear assessment functional of the pay-off. By using a recursive construction, we show that the game has a Nash equilibrium point.

Keywords: Non-zero-sum game; Non-linear operator; Dynkin game; Optimal stopping; Bermudan strategy; Non-linear expectation; Nash equilibrium; 60G40; 90C90; 91A10; 91A15; 91G70 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s10957-025-02681-w

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