Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Ivan Guo & Marek Rutkowski, 2017. "Arbitrage-free pricing of multi-person game claims in discrete time," Finance and Stochastics, Springer, vol. 21(1), pages 111-155, January.
- Ivan Guo & Marek Rutkowski, 2014. "Arbitrage Pricing of Multi-person Game Contingent Claims," Papers 1405.2718, arXiv.org.
- Guo, Ivan & Rutkowski, Marek, 2016. "Discrete time stochastic multi-player competitive games with affine payoffs," Stochastic Processes and their Applications, Elsevier, vol. 126(1), pages 1-32.
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KeywordsMulti-player game; Redistribution game; Stopping game; BSDE; Oblique reflection;
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