The continuous time nonzero-sum dynkin game problem and application in game options

SIAM Journal on Control and Optimization

Volumn 48, Issue 5, 2009, Pages 3659-3669

  Hamadène, Said ^a   Zhang, Jianfeng ^b  

^a UNIVERSITÉ DU MAINE   (France)

^b UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

Author keywords

American game contingent claim; Dynkin game; Nonzero sum game; Snell envelope; Stopping time; Utility maximization

Indexed keywords

EID: 78650011157     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/080738933     Document Type: Article

References (26)

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