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arXiv · 1806.00345

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

Said Hamadène·Randall Martyr·John Moriarty
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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.

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Said Hamadène, Randall Martyr, John Moriarty. 2018-06-01. A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time. https://arxiv.org/abs/1806.00345

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