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

Jeux de Dynkin non-linéaires à somme non nulle avec des stratégies Bermudiennes

Miryana Grigorova (), Marie-Claire Quenez () and Yuan Peng
Additional contact information
Miryana Grigorova: University of Warwick [Coventry]
Marie-Claire Quenez: LPSM (UMR_8001) - Laboratoire de Probabilités, Statistique et Modélisation - SU - Sorbonne Université - CNRS - Centre National de la Recherche Scientifique - UPCité - Université Paris Cité, UPCité - Université Paris Cité
Yuan Peng: University of Warwick [Coventry]

Working Papers from HAL

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: Dynkin game; non-linear operator; optimal stopping; non-linear evaluation; non-zero-sum; Nash Equilibrium (search for similar items in EconPapers)
Date: 2023-11-01
Note: View the original document on HAL open archive server: https://hal.science/hal-04267335v1
References: Add references at CitEc
Citations:

Downloads: (external link)
https://hal.science/hal-04267335v1/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-04267335

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().