Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156570 | Stochastic Processes and their Applications | 2014 | 27 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Tianyang Nie, Marek Rutkowski,