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A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time

By Said Hamadène, Randall Martyr and John Moriarty

Abstract

In this paper we study continuous-time two-player zero-sum optimal switching games on a finite horizon. Using the theory of doubly reflected BSDEs with interconnected barriers, we show that this game has a value and an equilibrium in the players' switching controls.Comment: 18 page

Topics: Mathematics - Optimization and Control, Mathematics - Probability, 91A15, 91A55, 91A05, 93E20, 60G40, 49N25
Year: 2018
OAI identifier: oai:arXiv.org:1806.00345

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