Non-linear non-zero-sum Dynkin games with Bermudan strategies

Miryana Grigorova, Marie-Claire Quenez and Yuan Peng
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Miryana Grigorova: LPSM, UPCit\'e
Marie-Claire Quenez: LPSM, UPCit\'e

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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.

Date: 2023-11
New Economics Papers: this item is included in nep-gth
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2311.01086

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