Stochastic nonzero-sum games: a new connection between singular control and optimal stopping

Angelis TD, Ferrari G (2016)
arXiv:1601.05709.

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In this paper we establish a new connection between a class of 2-player nonzero-sum games of optimal stopping and certain 2-player nonzero-sum games of singular control. We show that whenever a Nash equilibrium in the game of stopping is attained by hitting times at two separate boundaries, then such boundaries also trigger a Nash equilibrium in the game of singular control. Moreover a differential link between the players' value functions holds across the two games.
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Angelis TD, Ferrari G. Stochastic nonzero-sum games: a new connection between singular control and optimal stopping. arXiv:1601.05709. 2016.
Angelis, T. D., & Ferrari, G. (2016). Stochastic nonzero-sum games: a new connection between singular control and optimal stopping. arXiv:1601.05709.
Angelis, T. D., and Ferrari, G. (2016). Stochastic nonzero-sum games: a new connection between singular control and optimal stopping. arXiv:1601.05709.
Angelis, T.D., & Ferrari, G., 2016. Stochastic nonzero-sum games: a new connection between singular control and optimal stopping. arXiv:1601.05709.
T.D. Angelis and G. Ferrari, “Stochastic nonzero-sum games: a new connection between singular control and optimal stopping”, arXiv:1601.05709, 2016.
Angelis, T.D., Ferrari, G.: Stochastic nonzero-sum games: a new connection between singular control and optimal stopping. arXiv:1601.05709. (2016).
Angelis, Tiziano De, and Ferrari, Giorgio. “Stochastic nonzero-sum games: a new connection between singular control and optimal stopping”. arXiv:1601.05709 (2016).
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