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)

Related Items (33)

A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria ⋮ Recursive Construction of a Nash Equilibrium in a Two-Player Nonzero-Sum Stopping Game with Asymmetric Information ⋮ Approximation of value function of differential game with minimal cost ⋮ The Dynkin game with regime switching and applications to pricing game options ⋮ Nash Equilibria for Game Contingent Claims with Utility-Based Hedging ⋮ BSDE Approach for Dynkin Game and American Game Option ⋮ Numerical scheme for Dynkin games under model uncertainty ⋮ Subgame-perfect equilibria in stochastic timing games ⋮ On the value of non-Markovian Dynkin games with partial and asymmetric information ⋮ A class of nonzero-sum investment and reinsurance games subject to systematic risks ⋮ On identifying subgame-perfect equilibrium outcomes for timing games ⋮ Discrete time stochastic multi-player competitive games with affine payoffs ⋮ Dynamic Bertrand oligopoly ⋮ Playing with ghosts in a Dynkin game ⋮ The multi-player nonzero-sum Dynkin game in discrete time ⋮ Stochastic differential games with a varying number of players ⋮ Dynkin game with asymmetric information ⋮ Arbitrage-free pricing of multi-person game claims in discrete time ⋮ On shortfall risk minimization for game options ⋮ Equilibrium in two-player non-zero-sum Dynkin games in continuous time ⋮ Nash equilibria of threshold type for two-player nonzero-sum games of stopping ⋮ Switching problem and related system of reflected backward SDEs ⋮ PERPETUAL CANCELLABLE AMERICAN CALL OPTION ⋮ Dynkin games with heterogeneous beliefs ⋮ Nonzero-sum games of optimal stopping for Markov processes ⋮ Doubly reflected BSDEs with integrable parameters and related Dynkin games ⋮ Zero-Sum Markov Games with Impulse Controls ⋮ Control-Stopping Games for Market Microstructure and Beyond ⋮ Dynkin Games with Poisson Random Intervention Times ⋮ Nash equilibrium in nonzero-sum games of optimal stopping for Brownian motion ⋮ Nonzero-Sum Games of Optimal Stopping and Generalized Nash Equilibrium Problems ⋮ Non-linear Dynkin games over split stopping times ⋮ A Dynkin game under Knightian uncertainty

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