Nash equilibirum and the Legendre transform in optimal stopping games with one dimensional diffusions

zbMath1334.91016arXiv1301.0028MaRDI QIDQ5251707

Jenny Sexton

Publication date: 20 May 2015

Full work available at URL: https://arxiv.org/abs/1301.0028

zbMATH Keywords

optimal stopping gameNash equilibriumLegendre transformconvex analysis

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Derivative securities (option pricing, hedging, etc.) (91G20) Convexity of real functions in one variable, generalizations (26A51) Probabilistic games; gambling (91A60)

This page was built for publication: Nash equilibirum and the Legendre transform in optimal stopping games with one dimensional diffusions