The Multiplayer Nonzero-Sum Dynkin Game in Continuous Time

DOI10.1137/110855132MaRDI QIDQ5494898zbMATH OpenOpenAlexFDO

Authors Said Hamadène, Hassani Mohammed

Publication date 30 July 2014

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

Full work available at URL https://arxiv.org/abs/1110.5889

zbMATH Keywords

Dynkin gameNash equilibriumnonzero-sum gameSnell envelopestopping times

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Noncooperative games (91A10) Stochastic games, stochastic differential games (91A15) Games of timing (91A55) Probabilistic games; gambling (91A60)

Abstract: In this paper we study the N-player nonzero-sum Dynkin game ($Ngeq3$) in continuous time, which is a non-cooperative game where the strategies are stopping times. We show that the game has a Nash equilibrium point for general payoff processes.

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Cited in

(20)

• Deterministic multi-player Dynkin games.
• On dynamic games with randomly arriving players
• Nash equilibria of threshold type for two-player nonzero-sum games of stopping
• Non-linear Dynkin games over split stopping times
• Dynkin game under \(g\)-expectation in continuous time
• Subgame-perfect equilibria in stochastic timing games
• The multi-player nonzero-sum Dynkin game in discrete time
• Non-zero-sum reinsurance and investment game with correlation between insurance market and financial market under CEV model
• The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options
• Nonlinear dynamics in combinatorial games: Renormalizing Chomp
• A class of nonzero-sum investment and reinsurance games subject to systematic risks
• Noncooperative n-player cyclic stopping games
• A zero-sum competitive multi-player game
• Dynamic set values for nonzero-sum games with multiple equilibriums
• Equilibrium in two-player non-zero-sum Dynkin games in continuous time
• Nonzero-sum games of optimal stopping and generalized Nash equilibrium problems
• Recursive Construction of a Nash Equilibrium in a Two-Player Nonzero-Sum Stopping Game with Asymmetric Information
• \(\varepsilon\)-Nash equilibria of a multi-player nonzero-sum Dynkin game in discrete time
• Non-linear non-zero-sum Dynkin games with Bermudan strategies
• Discrete time stochastic multi-player competitive games with affine payoffs

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