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math.OC2023
Non-linear non-zero-sum Dynkin games with Bermudan strategies
Miryana Grigorova, Marie-Claire Quenez, Yuan Peng
In this paper, we study a non-zero-sum game with two players, where each of the players plays what we call Bermudan strategies and optimizes a general non-linear assessment functio…
math.OC2023
Optimal stopping: Bermudan strategies meet non-linear evaluations
Miryana Grigorova, Marie-Claire Quenez, Peng Yuan
We address an optimal stopping problem over the set of Bermudan-type strategies (which we understand in a more general sense than the stopping strategies for Bermudan options i…