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Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection

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  • Nie, Tianyang
  • Rutkowski, Marek

Abstract

We examine the connections between a novel class of multi-person stopping games with redistribution of payoffs and multi-dimensional reflected BSDEs in discrete- and continuous-time frameworks. Our goal is to provide an essential extension of classic results for two-player stopping games (Dynkin games) to the multi-player framework. We show the link between certain multi-period m-player stopping games and a new kind of m-dimensional reflected BSDEs. The existence and uniqueness of a solution to continuous-time reflected BSDEs are established. Continuous-time redistribution games are constructed with the help of reflected BSDEs and a characterization of the value of such stopping games is provided.

Suggested Citation

  • Nie, Tianyang & Rutkowski, Marek, 2014. "Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection," Stochastic Processes and their Applications, Elsevier, vol. 124(8), pages 2672-2698.
    • Handle: RePEc:eee:spapps:v:124:y:2014:i:8:p:2672-2698
    DOI: 10.1016/j.spa.2014.03.009
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    Cited by:

    1. Ivan Guo & Marek Rutkowski, 2017. "Arbitrage-free pricing of multi-person game claims in discrete time," Finance and Stochastics, Springer, vol. 21(1), pages 111-155, January.
    2. Guo, Ivan & Rutkowski, Marek, 2016. "Discrete time stochastic multi-player competitive games with affine payoffs," Stochastic Processes and their Applications, Elsevier, vol. 126(1), pages 1-32.
    3. Ivan Guo & Marek Rutkowski, 2014. "Arbitrage Pricing of Multi-person Game Contingent Claims," Papers 1405.2718, arXiv.org.

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