The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options
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Publication:3162604
DOI10.1137/080738933zbMath1202.91020arXiv0810.5698MaRDI QIDQ3162604
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
stopping time; utility maximization; Dynkin game; Snell envelope; nonzero-sum game; American game contingent claim
91A10: Noncooperative games
60G40: Stopping times; optimal stopping problems; gambling theory
91A15: Stochastic games, stochastic differential games
91G20: Derivative securities (option pricing, hedging, etc.)
91A60: Probabilistic games; gambling
91A30: Utility theory for games
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