Optimal stopping and a non-zero-sum Dynkin game in discrete time with risk measures induced by BSDEs

DOI10.1080/17442508.2016.1166505zbMath1410.91133arXiv1705.03724OpenAlexW3190551074MaRDI QIDQ2974865

Miryana Grigorova, Marie-Claire Quenez

Publication date: 11 April 2017

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.03724

zbMATH Keywords

optimal stoppingNash equilibrium\(g\)-expectationdynamic risk measuregame optionnon-zero-sum Dynkin game

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Probabilistic games; gambling (91A60)

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