Non-linear non-zero-sum Dynkin games with Bermudan strategies
Jeux de Dynkin non-linéaires à somme non nulle avec des stratégies Bermudiennes
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.
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