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

Tiziano de Angelis, Giorgio Ferrari and John Moriarty
Additional contact information
Tiziano de Angelis: Center for Mathematical Economics, Bielefeld University
Giorgio Ferrari: Center for Mathematical Economics, Bielefeld University
John Moriarty: Center for Mathematical Economics, Bielefeld University

No 563, Center for Mathematical Economics Working Papers from Center for Mathematical Economics, Bielefeld University

Abstract: 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.

Keywords: nonzero-sum Dynkin games; Nash equilibrium; smooth-fit principle; regular diffusions; free boundary problems (search for similar items in EconPapers)
Pages: 24
Date: 2016-07-21
New Economics Papers: this item is included in nep-gth and nep-hpe
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://pub.uni-bielefeld.de/download/2904748/2904761 First Version, 2016 (application/x-download)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bie:wpaper:563

Access Statistics for this paper

More papers in Center for Mathematical Economics Working Papers from Center for Mathematical Economics, Bielefeld University Contact information at EDIRC.
Bibliographic data for series maintained by Bettina Weingarten ().