BSDE Approach to Non-Zero-Sum Stochastic Differential Games of Control and Stopping

Abstract

This paper studies two non-zero-sum stochastic differential games of control and stopping. One game has interaction in the players’ stopping rules, whereas the other does not. Solutions to backward stochastic differential equations (BSDEs) will be shown to provide the value processes of the first game. A multi-dimensional BSDE with reflecting barrier is… (More)

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Cite this paper

@inproceedings{Karatzas2011BSDEAT, title={BSDE Approach to Non-Zero-Sum Stochastic Differential Games of Control and Stopping}, author={Ioannis Karatzas and Qinghua Li and Robert J. Elliott}, year={2011} }