Zero-Sum Stopping Games with Asymmetric Information

Fabien Gensbittel and Christine Grün ()
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Christine Grün: Toulouse School of Economics, University of Toulouse Capitole, 31000 Toulouse, France

Mathematics of Operations Research, 2019, vol. 44, issue 1, 277-302

Abstract: We study a model of two-player, zero-sum, stopping games with asymmetric information. We assume that the payoff depends on two independent continuous-time Markov chains, where the first Markov chain is only observed by player 1 and the second Markov chain is only observed by player 2, implying that the players have access to stopping times with respect to different filtrations. We show the existence of a value in mixed stopping times and provide a variational characterization for the value as a function of the initial distribution of the Markov chains. We also prove a verification theorem for optimal stopping rules, which allows to construct optimal stopping times. Finally we use our results to solve explicitly two generic examples.

Keywords: stopping games; Dynkin games; incomplete information (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (4)

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