Non-linear non-zero-sum Dynkin games with Bermudan strategies
Optimization and Control
2023-11-03 v1 Probability
Computational Finance
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.
Cite
@article{arxiv.2311.01086,
title = {Non-linear non-zero-sum Dynkin games with Bermudan strategies},
author = {Miryana Grigorova and Marie-Claire Quenez and Yuan Peng},
journal= {arXiv preprint arXiv:2311.01086},
year = {2023}
}