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<p>In this paper, we study a non-zero-sum game with two players, where each of the players plays what we call Bermudan strategies and optimizes a general non-linear assessment functional of the pay-off. By using a recursive construction, we show that the game has a Nash equilibrium point.</p>

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Non-linear Non-zero-Sum Dynkin Games with Bermudan Strategies

  • 期刊论文

  • 出版模式：

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  • 发表日期：

    2025年5月2日

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  • Miryana Grigorova,
  • Marie-Claire Quenez,
  • Peng Yuan

摘要

In this paper, we study a non-zero-sum game with two players, where each of the players plays what we call Bermudan strategies and optimizes a general non-linear assessment functional of the pay-off. By using a recursive construction, we show that the game has a Nash equilibrium point.