کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1156570 | 958844 | 2014 | 27 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
We examine the connections between a novel class of multi-person stopping games with redistribution of payoffs and multi-dimensional reflected BSDEs in discrete- and continuous-time frameworks. Our goal is to provide an essential extension of classic results for two-player stopping games (Dynkin games) to the multi-player framework. We show the link between certain multi-period mm-player stopping games and a new kind of mm-dimensional reflected BSDEs. The existence and uniqueness of a solution to continuous-time reflected BSDEs are established. Continuous-time redistribution games are constructed with the help of reflected BSDEs and a characterization of the value of such stopping games is provided.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 124, Issue 8, August 2014, Pages 2672–2698
Journal: Stochastic Processes and their Applications - Volume 124, Issue 8, August 2014, Pages 2672–2698
نویسندگان
Tianyang Nie, Marek Rutkowski,