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

de Angelis T, Ferrari G (2016) Center for Mathematical Economics Working Papers; 565.
Bielefeld: Center for Mathematical Economics.

Diskussionspapier | Veröffentlicht| Englisch
 
Download
OA 443.81 KB
Autor/in
de Angelis, Tiziano; Ferrari, GiorgioUniBi
Abstract / Bemerkung
In this paper we establish a new connection between a class of 2-player nonzerosum 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.
Stichworte
games of singular control; games of optimal stopping; Nash equilibrium; onedimensional diffusion; Hamilton-Jacobi-Bellman equation; verification theorem
Erscheinungsjahr
2016
Band
565
Seite(n)
23
ISSN
0931-6558
Page URI
https://pub.uni-bielefeld.de/record/2904753

Zitieren

de Angelis T, Ferrari G. Stochastic nonzero-sum games: a new connection between singular control and optimal stopping . Center for Mathematical Economics Working Papers. Vol 565. Bielefeld: Center for Mathematical Economics; 2016.
de Angelis, T., & Ferrari, G. (2016). Stochastic nonzero-sum games: a new connection between singular control and optimal stopping (Center for Mathematical Economics Working Papers, 565). Bielefeld: Center for Mathematical Economics.
de Angelis, T., and Ferrari, G. (2016). Stochastic nonzero-sum games: a new connection between singular control and optimal stopping . Center for Mathematical Economics Working Papers, 565, Bielefeld: Center for Mathematical Economics.
de Angelis, T., & Ferrari, G., 2016. Stochastic nonzero-sum games: a new connection between singular control and optimal stopping , Center for Mathematical Economics Working Papers, no.565, Bielefeld: Center for Mathematical Economics.
T. de Angelis and G. Ferrari, Stochastic nonzero-sum games: a new connection between singular control and optimal stopping , Center for Mathematical Economics Working Papers, vol. 565, Bielefeld: Center for Mathematical Economics, 2016.
de Angelis, T., Ferrari, G.: Stochastic nonzero-sum games: a new connection between singular control and optimal stopping . Center for Mathematical Economics Working Papers, 565. Center for Mathematical Economics, Bielefeld (2016).
de Angelis, Tiziano, and Ferrari, Giorgio. Stochastic nonzero-sum games: a new connection between singular control and optimal stopping . Bielefeld: Center for Mathematical Economics, 2016. Center for Mathematical Economics Working Papers. 565.
Alle Dateien verfügbar unter der/den folgenden Lizenz(en):
Copyright Statement:
This Item is protected by copyright and/or related rights. [...]
Volltext(e)
Access Level
OA Open Access
Zuletzt Hochgeladen
2019-09-06T09:18:39Z
MD5 Prüfsumme
e28fd53853020b8b065fb92a889ebb26

Export

Markieren/ Markierung löschen
Markierte Publikationen

Open Data PUB

Suchen in

Google Scholar