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Non-linear non-zero-sum Dynkin games with Bermudan strategies

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arxiv 2311.01086 v1 pith:5RXPLSI7 submitted 2023-11-02 math.OC math.PRq-fin.CP

Miryana Grigorova , Marie-Claire Quenez (LPSM , UPCité) , Yuan Peng This is my paper · ORCID
classification math.OCmath.PRq-fin.CP
keywords bermudangamenon-linearnon-zero-sumplayersstrategiesassessmentcall
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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.

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