Recursive Construction

Non-linear non-zero-sum Dynkin games with Bermudan strategies ArXiv ID: 2311.01086 “View on arXiv” Authors: Unknown Abstract 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. Keywords: Non-Zero-Sum Game, Bermudan Strategies, Nash Equilibrium, Recursive Construction, Non-Linear Assessment Functional, Derivatives/Contingent Claims ...