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

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

Regularity of Nash payoffs of Markovian nonzero-sum stochastic differential games\u201d

The research that led to the present paper was partially supported by a grant of the group GNAMPA of INdAM