Non-linear Non-zero-Sum Dynkin Games with Bermudan Strategies
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.
Authors
- Miryana Grigorova (ORCID: https://orcid.org/0000-0002-6933-9286)
- Marie-Claire Quenez
- Peng Yuan
Institutions
- Université Paris Cité (FR)
- University of Warwick (GB)
Publication Details
- Journal
- Journal of Optimization Theory and Applications
- Published
- 2025-05-02
- DOI
- https://doi.org/10.1007/s10957-025-02681-w
- Primary Topic
- Stochastic processes and financial applications
- Type
- article
- Field-Weighted Citation Impact
- 0.00