Work

Non-linear Non-zero-Sum Dynkin Games with Bermudan Strategies

Year: 2025

Type: article

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.

Source: Journal of Optimization Theory and Applications

DOI: 10.1007/s10957-025-02681-w

Authors: Miryana Grigorova, Marie-Claire Quenez, Peng Yuan

Institutions: University of Warwick, Université Paris Cité

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,190

OpenAlex ID: W4410042758