A Dynkin recreation on property with incomplete info on the return
Authors: Tiziano De Angelis, Fabien Gensbittel, Stéphane Villeneuve
Summary: This paper research a 2-players zero-sum Dynkin recreation arising from pricing an possibility on an asset whose charge of return is unknown to each gamers. Utilizing filtering strategies we first scale back the issue to a zero-sum Dynkin recreation on a bi-dimensional diffusion (X,Y). Then we characterize the existence of a Nash equilibrium in pure methods during which every participant stops on the hitting time of (X,Y) to a set with shifting boundary. An in depth description of the stopping units for the 2 gamers is offered together with world C1 regularity of the worth perform.
