Discrete time stochastic multi-player competitive games with affine payoffs

DOI10.1016/J.SPA.2015.07.013zbMath1409.91027arXiv1405.2716OpenAlexW1135719930MaRDI QIDQ898397

Marek Rutkowski, Ivan Guo

Publication date: 8 December 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.2716

zbMATH Keywords

Nash equilibriumstochastic gameoptimal equilibriumredistribution gamemulti-player gameaffine gameDynkin stopping game

Mathematics Subject Classification ID

Discrete-time games (91A50) (n)-person games, (n>2) (91A06) Stochastic games, stochastic differential games (91A15)

Related Items (1)

Arbitrage-free pricing of multi-person game claims in discrete time

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection
• Backward stochastic differential equations with reflection and Dynkin games
• Reflected backward stochastic differential equations in an orthant
• Martingale methods in financial modelling.
• Finite-dimensional variational inequality and nonlinear complementarity problems: A survey of theory, algorithms and applications
• Mathematical methods for financial markets.
• On the pricing of American options
• A general theory of finite state backward stochastic difference equations
• Unilaterally competitive games
• Deterministic multi-player Dynkin games.
• Dynkin's games and Israeli options
• The multi-player nonzero-sum Dynkin game in discrete time
• A Subsidy-Surplus Model and the Skorokhod Problem in an Orthant
• Valuation and Hedging of Contracts with Funding Costs and Collateralization
• The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options
• Discrete-Time Multi-Player Stopping and Quitting Games with Redistribution of Payoffs
• Optimal Stopping Games and Nash Equilibrium
• Continuous-Time Dynkin Games with Mixed Strategies
• Finite-Dimensional Variational Inequalities and Complementarity Problems
• A zero-sum competitive multi-player game
• The Value of Zero-Sum Stopping Games in Continuous Time
• The Multiplayer Nonzero-Sum Dynkin Game in Continuous Time
• Quitting Games
• Game options
• Stopping games with randomized strategies

This page was built for publication: Discrete time stochastic multi-player competitive games with affine payoffs