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

de Angelis T, Ferrari G, Moriarty J (2016) Center for Mathematical Economics Working Papers; 563.
Bielefeld: Center for Mathematical Economics.

Diskussionspapier | Veröffentlicht | Englisch
 
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Abstract / Bemerkung
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 Itô and McKean (1974) [19], 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.
Stichworte
nonzero-sum Dynkin games; Nash equilibrium; smooth-fit principle; regular diffusions; free boundary problems
Erscheinungsjahr
2016
Band
563
Seite(n)
24
ISSN
0931-6558
Page URI
https://pub.uni-bielefeld.de/record/2904748

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de Angelis T, Ferrari G, Moriarty J. Nash equilibria of threshold type for two-player nonzero-sum games of stopping. Center for Mathematical Economics Working Papers. Vol 563. Bielefeld: Center for Mathematical Economics; 2016.
de Angelis, T., Ferrari, G., & Moriarty, J. (2016). Nash equilibria of threshold type for two-player nonzero-sum games of stopping (Center for Mathematical Economics Working Papers, 563). Bielefeld: Center for Mathematical Economics.
de Angelis, T., Ferrari, G., and Moriarty, J. (2016). Nash equilibria of threshold type for two-player nonzero-sum games of stopping. Center for Mathematical Economics Working Papers, 563, Bielefeld: Center for Mathematical Economics.
de Angelis, T., Ferrari, G., & Moriarty, J., 2016. Nash equilibria of threshold type for two-player nonzero-sum games of stopping, Center for Mathematical Economics Working Papers, no.563, Bielefeld: Center for Mathematical Economics.
T. de Angelis, G. Ferrari, and J. Moriarty, Nash equilibria of threshold type for two-player nonzero-sum games of stopping, Center for Mathematical Economics Working Papers, vol. 563, Bielefeld: Center for Mathematical Economics, 2016.
de Angelis, T., Ferrari, G., Moriarty, J.: Nash equilibria of threshold type for two-player nonzero-sum games of stopping. Center for Mathematical Economics Working Papers, 563. Center for Mathematical Economics, Bielefeld (2016).
de Angelis, Tiziano, Ferrari, Giorgio, and Moriarty, John. Nash equilibria of threshold type for two-player nonzero-sum games of stopping. Bielefeld: Center for Mathematical Economics, 2016. Center for Mathematical Economics Working Papers. 563.
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2019-09-06T09:18:39Z
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