On the value of non-Markovian Dynkin games with partial and asymmetric information

Tiziano De Angelis, Nikita Merkulov and Jan Palczewski

Papers from arXiv.org

Abstract: We prove that zero-sum Dynkin games in continuous time with partial and asymmetric information admit a value in randomised stopping times when the stopping payoffs of the players are general \cadlag measurable processes. As a by-product of our method of proof we also obtain existence of optimal strategies for both players. The main novelties are that we do not assume a Markovian nature of the game nor a particular structure of the information available to the players. This allows us to go beyond the variational methods (based on PDEs) developed in the literature on Dynkin games in continuous time with partial/asymmetric information. Instead, we focus on a probabilistic and functional analytic approach based on the general theory of stochastic processes and Sion's min-max theorem (M. Sion, Pacific J. Math., 8, 1958, pp. 171-176). Our framework encompasses examples found in the literature on continuous time Dynkin games with asymmetric information and we provide counterexamples to show that our assumptions cannot be further relaxed.

Date: 2020-07, Revised 2021-02
New Economics Papers: this item is included in nep-gth and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2007.10643 Latest version (application/pdf)

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:arx:papers:2007.10643

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().