Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection
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.
Volume (Year): 124 (2014)
Issue (Month): 8 ()
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description|
|Order Information:|| Postal: http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- repec:dau:papers:123456789/6017 is not listed on IDEAS
- Hamadène, Said & Zhang, Jianfeng, 2010. "Switching problem and related system of reflected backward SDEs," Stochastic Processes and their Applications, Elsevier, vol. 120(4), pages 403-426, April.
- N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71.
- Cohen, Samuel N. & Elliott, Robert J., 2010. "A general theory of finite state Backward Stochastic Difference Equations," Stochastic Processes and their Applications, Elsevier, vol. 120(4), pages 442-466, April.
- Matoussi, Anis, 1997. "Reflected solutions of backward stochastic differential equations with continuous coefficient," Statistics & Probability Letters, Elsevier, vol. 34(4), pages 347-354, June.
- Eilon Solan & Nicholas Vieille, 2001.
"Quitting Games - An Example,"
1314, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Eilon Solan & Nicolas Vieille, 2002. "Quitting games - An example," Working Papers hal-00242995, HAL.
- VIEILLE, Nicolas & SOLAN, Eilon, 2001. "Quitting games - an example," Les Cahiers de Recherche 747, HEC Paris.
- Eilon Solan & Nicolas Vieille, 2003. "Quitting games – An example," Post-Print hal-00464962, HAL.
- Rida Laraki & Eilon Solan, 2012. "Equilibrium in Two-Player Nonzero-Sum Dynkin Games in Continuous Time," Working Papers hal-00753508, HAL.
- 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.
- Hamadène, S., 1998. "Backward-forward SDE's and stochastic differential games," Stochastic Processes and their Applications, Elsevier, vol. 77(1), pages 1-15, September.
- 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.
- repec:spr:compst:v:66:y:2007:i:3:p:531-544 is not listed on IDEAS Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:124:y:2014:i:8:p:2672-2698. See general information about how to correct material in RePEc.
If references are entirely missing, you can add them using this form.