A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time
Optimization and Control
2018-06-04 v1 Probability
Abstract
In this paper we study continuous-time two-player zero-sum optimal switching games on a finite horizon. Using the theory of doubly reflected BSDEs with interconnected barriers, we show that this game has a value and an equilibrium in the players' switching controls.
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Cite
@article{arxiv.1806.00345,
title = {A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time},
author = {Said Hamadène and Randall Martyr and John Moriarty},
journal= {arXiv preprint arXiv:1806.00345},
year = {2018}
}
Comments
18 pages