Nash equilibria of threshold type for two-player nonzero-sum games of stopping

Angelis TD, Ferrari G, Moriarty J (2015)
arXiv:1508.03989.

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This paper analyses two-player nonzero-sum games of optimal stopping on a class of regular diffusions with singular boundary behaviour (in the sense of It\^o and McKean (1974), p. 108). We prove that Nash equilibria are realised by stopping the diffusion at the first exit time from suitable intervals whose boundaries solve a system of algebraic equations. Under mild additional assumptions we also prove uniqueness of the equilibrium.
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Angelis TD, Ferrari G, Moriarty J. Nash equilibria of threshold type for two-player nonzero-sum games of stopping. arXiv:1508.03989. 2015.
Angelis, T. D., Ferrari, G., & Moriarty, J. (2015). Nash equilibria of threshold type for two-player nonzero-sum games of stopping. arXiv:1508.03989.
Angelis, T. D., Ferrari, G., and Moriarty, J. (2015). Nash equilibria of threshold type for two-player nonzero-sum games of stopping. arXiv:1508.03989.
Angelis, T.D., Ferrari, G., & Moriarty, J., 2015. Nash equilibria of threshold type for two-player nonzero-sum games of stopping. arXiv:1508.03989.
T.D. Angelis, G. Ferrari, and J. Moriarty, “Nash equilibria of threshold type for two-player nonzero-sum games of stopping”, arXiv:1508.03989, 2015.
Angelis, T.D., Ferrari, G., Moriarty, J.: Nash equilibria of threshold type for two-player nonzero-sum games of stopping. arXiv:1508.03989. (2015).
Angelis, Tiziano De, Ferrari, Giorgio, and Moriarty, John. “Nash equilibria of threshold type for two-player nonzero-sum games of stopping”. arXiv:1508.03989 (2015).
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