BSDE Approach to Non-Zero-Sum Stochastic Differential Games of Control and Stopping
نویسندگان
چکیده
This paper studies two non-zero-sum stochastic differential games of control and stopping. One game has interaction in the players’ stopping rules, whereas the other does not. Solutions to backward stochastic differential equations (BSDEs) will be shown to provide the value processes of the first game. A multi-dimensional BSDE with reflecting barrier is studied in two cases for its solution: existence and uniqueness with Lipschitz growth, and existence in a Markovian system with linear growth rate. The extension to linear/quadratic growth rates of the equation allows the controls to observe the instantaneous volatilities of the value processes in the Markovian case.
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