THE CONTINUOUS TIME NONZERO-SUM DYNKIN GAME PROBLEM AND APPLICATION IN GAME OPTIONS

被引：43
|
作者：
Hamadene, Said [1 ]
Zhang, Jianfeng [2 ]
机构：
[1] Univ Maine, Dept Math, Equipe Stat & Proc, F-72085 Le Mans 9, France
[2] Univ So Calif, Dept Math, Los Angeles, CA 90089 USA
来源：
SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2010年 / 48卷 / 05期
关键词：
nonzero-sum game; Dynkin game; Snell envelope; stopping time; utility maximization; American game contingent claim; STOPPING GAMES; AMERICAN;
D O I：
10.1137/080738933
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
In this paper we study the nonzero-sum Dynkin game in continuous time, which is a two-player noncooperative game on stopping times. We show that it has a Nash equilibrium point for general stochastic processes. As an application, we consider the problem of pricing American game contingent claims by the utility maximization approach.
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页码：3659 / 3669
页数：11
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