Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection

DOI10.1016/J.SPA.2014.03.009MaRDI QIDQ402722zbMATH OpenOpenAlexFDO

Authors Tianyang Nie, Marek Rutkowski

Publication date 28 August 2014

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

Full work available at URL https://doi.org/10.1016/j.spa.2014.03.009

zbMATH Keywords

backward stochastic differential equationsoblique reflectionmulti-player stopping gamesredistribution game

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) (n)-person games, (n>2) (91A06) Probabilistic games; gambling (91A60)

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Cited in

(6)

• Forward-backward stochastic differential equation with subdifferential operator and associated variational inequality
• scientific article; zbMATH DE number 67293 (Why is no real title available?)
• Discrete-time multi-player stopping and quitting games with redistribution of payoffs
• Multi-dimensional path-dependent forward-backward stochastic variational inequalities
• Arbitrage-free pricing of multi-person game claims in discrete time
• Discrete time stochastic multi-player competitive games with affine payoffs

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