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

Listed author(s):
  • Nie, Tianyang
  • Rutkowski, Marek
Registered author(s):

    We examine the connections between a novel class of multi-person stopping games with redistribution of payoffs and multi-dimensional reflected BSDEs in discrete- and continuous-time frameworks. Our goal is to provide an essential extension of classic results for two-player stopping games (Dynkin games) to the multi-player framework. We show the link between certain multi-period m-player stopping games and a new kind of m-dimensional reflected BSDEs. The existence and uniqueness of a solution to continuous-time reflected BSDEs are established. Continuous-time redistribution games are constructed with the help of reflected BSDEs and a characterization of the value of such stopping games is provided.

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    Article provided by Elsevier in its journal Stochastic Processes and their Applications.

    Volume (Year): 124 (2014)
    Issue (Month): 8 ()
    Pages: 2672-2698

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    Handle: RePEc:eee:spapps:v:124:y:2014:i:8:p:2672-2698
    DOI: 10.1016/
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    7. Rida Laraki & Eilon Solan, 2012. "Equilibrium in Two-Player Nonzero-Sum Dynkin Games in Continuous Time," Working Papers hal-00753508, HAL.
    8. Yasuda, M., 1985. "On a randomized strategy in Neveu's stopping problem," Stochastic Processes and their Applications, Elsevier, vol. 21(1), pages 159-166, December.
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    10. Hamadène, S. & Lepeltier, J. -P., 2000. "Reflected BSDEs and mixed game problem," Stochastic Processes and their Applications, Elsevier, vol. 85(2), pages 177-188, February.
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