英文标题：
《Optimal stopping and a non-zero-sum Dynkin game in discrete time with
risk measures induced by BSDEs》
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作者：
Miryana Grigorova, Marie-Claire Quenez (LPMA)
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最新提交年份：
2017
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英文摘要：
We first study an optimal stopping problem in which a player (an agent) uses a discrete stopping time in order to stop optimally a payoff process whose risk is evaluated by a (non-linear) $g$-expectation. We then consider a non-zero-sum game on discrete stopping times with two agents who aim at minimizing their respective risks. The payoffs of the agents are assessed by g-expectations (with possibly different drivers for the different players). By using the results of the first part, combined with some ideas of S. Hamad{\\`e}ne and J. Zhang, we construct a Nash equilibrium point of this game by a recursive procedure. Our results are obtained in the case of a standard Lipschitz driver $g$ without any additional assumption on the driver besides that ensuring the monotonicity of the corresponding $g$-expectation.
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中文摘要：
我们首先研究了一个最优停止问题，其中一个参与者（一个代理）使用一个离散的停止时间来最优地停止一个支付过程，该过程的风险由一个（非线性）g$-期望来评估。然后，我们考虑一个关于离散停止时间的非零和博弈，两个代理的目标是最小化各自的风险。代理人的报酬由g-期望进行评估（不同的参与者可能有不同的驱动因素）。利用第一部分的结果，结合S.Hamad{` e}ne和J.Zhang的一些思想，我们通过递归过程构造了该博弈的纳什均衡点。我们的结果是在标准Lipschitz驱动程序$g$的情况下得到的，除了确保相应的$g$-期望的单调性外，没有对驱动程序进行任何额外的假设。
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分类信息：

一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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