scholarly journals A partially observed non-zero sum differential game of forward-backward stochastic differential equations and its application in finance

2019 ◽  
Vol 9 (2) ◽  
pp. 257-276 ◽  
Author(s):  
Jie Xiong ◽  
◽  
Shuaiqi Zhang ◽  
Yi Zhuang ◽  
◽  
...  
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Differential Game ◽  
Backward Stochastic Differential Equations ◽  
Partially Observed ◽  
Zero Sum

scholarly journals A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time

2019 ◽  
Vol 51 (2) ◽  
pp. 425-442
Author(s):  
S. Hamadène ◽  
R. Martyr ◽  
J. Moriarty
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Continuous Time ◽  
Backward Stochastic Differential Equations ◽  
Finite Horizon ◽  
Optimal Switching ◽  
Verification Theorem ◽  
A Value ◽  
Zero Sum ◽  
Switching Game

AbstractIn this paper we study continuous-time two-player zero-sum optimal switching games on a finite horizon. Using the theory of doubly reflected backward stochastic differential equations with interconnected barriers, we show that this game has a value and an equilibrium in the players’ switching controls.

Sign in / Sign up

Export Citation Format

Share Document