IDEAS home Printed from https://ideas.repec.org/p/hal/wpaper/hal-04267335.html
   My bibliography  Save this paper

Non-linear non-zero-sum Dynkin games with Bermudan strategies
[Jeux de Dynkin non-linéaires à somme non nulle avec des stratégies Bermudiennes]

Author

Listed:
  • Miryana Grigorova

    (University of Warwick [Coventry])

  • Marie-Claire Quenez

    (LPSM (UMR_8001) - Laboratoire de Probabilités, Statistique et Modélisation - SU - Sorbonne Université - CNRS - Centre National de la Recherche Scientifique - UPCité - Université Paris Cité, UPCité - Université Paris Cité)

  • Yuan Peng

    (University of Warwick [Coventry])

Abstract

In this paper, we study a non-zero-sum game with two players, where each of the players plays what we call Bermudan strategies and optimizes a general non-linear assessment functional of the pay-off. By using a recursive construction, we show that the game has a Nash equilibrium point.

Suggested Citation

  • Miryana Grigorova & Marie-Claire Quenez & Yuan Peng, 2023. "Non-linear non-zero-sum Dynkin games with Bermudan strategies [Jeux de Dynkin non-linéaires à somme non nulle avec des stratégies Bermudiennes]," Working Papers hal-04267335, HAL.
    • Handle: RePEc:hal:wpaper:hal-04267335
    Note: View the original document on HAL open archive server: https://hal.science/hal-04267335
    as

    Download full text from publisher

    File URL: https://hal.science/hal-04267335/document
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:wpaper:hal-04267335. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.