A Dynkin recreation on property with incomplete data on the return
Authors: Tiziano De Angelis, Fabien Gensbittel, Stéphane Villeneuve
Abstract: This paper analysis a 2-players zero-sum Dynkin recreation arising from pricing an risk on an asset whose cost of return is unknown to every avid gamers. Using filtering methods we first reduce the difficulty to a zero-sum Dynkin recreation on a bi-dimensional diffusion (X,Y). Then we characterize the existence of a Nash equilibrium in pure strategies throughout which each and every participant stops on the hitting time of (X,Y) to a set with shifting boundary. An in depth description of the stopping items for the two avid gamers is obtainable along with world C1 regularity of the value carry out.
