Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection |
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Authors: | Tianyang Nie Marek Rutkowski |
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Affiliation: | School of Mathematics and Statistics, University of Sydney, Sydney, NSW 2006, Australia |
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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. |
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Keywords: | Multi-player game Redistribution game Stopping game BSDE Oblique reflection |
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