Grigorova, M and Quenez, M-C (2017) Optimal stopping and a non-zero-sum Dynkin game in discrete time with risk measures induced by BSDEs. Stochastics, 89 (1). pp. 259-279. ISSN 1744-2508
Abstract
We first study an optimal stopping problem in which a player (an agent) uses a discrete stopping time in order to stop optimally a payoff process whose risk is evaluated by a (non-linear) g-expectation. We then consider a non-zero-sum game on discrete stopping times with two agents who aim at minimizing their respective risks. The payoffs of the agents are assessed by g-expectations (with possibly different drivers for the different players). By using the results of the first part, combined with some ideas of S. Hamadène and J. Zhang, we construct a Nash equilibrium point of this game by a recursive procedure. Our results are obtained in the case of a standard Lipschitz driver g without any additional assumption on the driver besides that ensuring the monotonicity of the corresponding g-expectation.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2016 Taylor & Francis. This is an author produced version of a paper published in Stochastics. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | Optimal stopping, non-zero-sum Dynkin game, g-expectation, dynamic risk measure, game option, Nash equilibrium |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Engineering & Physical Sciences (Leeds) > School of Mathematics (Leeds) > Statistics (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 29 Jul 2020 12:22 |
Last Modified: | 29 Jul 2020 12:22 |
Status: | Published |
Publisher: | Taylor & Francis |
Identification Number: | 10.1080/17442508.2016.1166505 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:163777 |