SIAM Journal on Control and Optimization, Vol.48, No.5, 3659-3669, 2010
THE CONTINUOUS TIME NONZERO-SUM DYNKIN GAME PROBLEM AND APPLICATION IN GAME OPTIONS
In this paper we study the nonzero-sum Dynkin game in continuous time, which is a two-player noncooperative game on stopping times. We show that it has a Nash equilibrium point for general stochastic processes. As an application, we consider the problem of pricing American game contingent claims by the utility maximization approach.
Keywords:nonzero-sum game;Dynkin game;Snell envelope;stopping time;utility maximization;American game contingent claim