Mixed Markov-Perfect Equilibria in the Continuous-Time War of Attrition

Décamps, Jean-Paul, Fabien Gensbittel and Thomas Mariotti
Authors registered in the RePEc Author Service: Jean-Paul Décamps

No 20486, CEPR Discussion Papers from Centre for Economic Policy Research

Abstract: We prove the existence of a Markov-perfect equilibrium in randomized stopping times for a model of the war of attrition in which the underlying state variable follows a homogenous linear diffusion. We first prove that the space of Markovian randomized stopping times can be topologized as a compact absolute retract. This in turn enables us to use a powerful fixed-point theorem by Eilenberg and Montgomery to prove our existence theorem. We illustrate our results with an example of a war of attrition that admits a mixed-strategy Markov-perfect equilibrium but no pure-strategy Markov-perfect equilibrium.

JEL-codes: C73 (search for similar items in EconPapers)
Date: 2025-07
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Related works:
Working Paper: Mixed Markov-Perfect Equilibria in the Continuous-Time War of Attrition (2026)
Working Paper: Mixed Markov-Perfect Equilibria in the Continuous-Time War of Attrition (2026)
Working Paper: Mixed Markov-Perfect Equilibria in the Continuous-Time War of Attrition (2025)
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