24 research outputs found
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