The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options

DOI10.1137/080738933zbMath1202.91020arXiv0810.5698OpenAlexW2023657524MaRDI QIDQ3162604

Jianfeng Zhang, Said Hamadène

Publication date: 20 October 2010

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0810.5698

zbMATH Keywords

stopping timeutility maximizationDynkin gameSnell envelopenonzero-sum gameAmerican game contingent claim

Mathematics Subject Classification ID

Noncooperative games (91A10) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Derivative securities (option pricing, hedging, etc.) (91G20) Probabilistic games; gambling (91A60) Utility theory for games (91A30)

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