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

Published 1 Jun 2018 in math.OC and math.PR | (1806.00345v1)

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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