Playing with ghosts in a Dynkin game

Tiziano De Angelis and Erik Ekstr\"om

Papers from arXiv.org

Abstract: We study a class of optimal stopping games (Dynkin games) of preemption type, with uncertainty about the existence of competitors. The set-up is well-suited to model, for example, real options in the context of investors who do not want to publicly reveal their interest in a certain business opportunity. We show that there exists a Nash equilibrium in randomized stopping times which is described explicitly in terms of the corresponding one-player game.

Date: 2019-05
New Economics Papers: this item is included in nep-bec, nep-gth and nep-mic
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