A harmonic function approach to Nash-equilibria of Kifer-type stopping games

Lerche Hans Rudolf and Stich Dominik

Statistics & Risk Modeling, 2013, vol. 30, issue 2, 169-180

Abstract: In this paper we give sufficient conditions for solving two-person zero sum stopping games. These are games where the strategy set of the two players are stopping times of a diffusion X. Our method is based on the study of harmonic functions for the diffusion and it is similar to the approach of solving optimal stopping problems developed in [2]–[4], and [12].

Keywords: stochastic games; Israeli options (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1524/strm.2013.1137

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