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

Tiziano De Angelis, Giorgio Ferrari and John Moriarty

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.

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Year of publication:	July 2016
Authors:	De Angelis, Tiziano ; Ferrari, Giorgio ; Moriarty, John
Publisher:	Bielefeld, Germany : Center for Mathematical Economics (IMW), Bielefeld University
Subject:	nonzero-sum Dynkin games \| Nash equilibrium \| smooth-fit principle \| regular diffusions \| free boundary problems \| Spieltheorie \| Game theory \| Nash-Gleichgewicht \| Nichtkooperatives Spiel \| Noncooperative game

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Extent:	1 Online-Ressource (circa 24 Seiten)
Series:	Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW). - Bielefeld : IMW, ISSN 2942-9536, ZDB-ID 2437810-0. - Vol. 563
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Other identifiers:	hdl:10419/149020 [Handle]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011517464