The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options

In this paper we study the nonzero-sum Dynkin game in continuous time, which is a two-player noncooperative game on stopping times. We show that it has a Nash equilibrium point for general stochastic processes. As an application, we consider the problem of pricing American game contingent claims by the utility maximization approach. Key words. nonzero-sum game, Dynkin game, Snell envelope, stopping time, utility maximization, American game contingent claim AMS subject classifications. 91A15, 91A10, 91A30, 60G40, 91A60 DOI. 10.1137/080738933

• Type: Journal
• Year: 2010
• Where: SIAMCO
• Authors: Said Hamadène, Jianfeng Zhang
• Keywords: Dynkin Game, Game, SIAMCO 2010, Utility Maximization