Zero-sum stopping games with asymmetric information

Fabien Gensbittel and Christine Grün

No 17-859, TSE Working Papers from Toulouse School of Economics (TSE)

Abstract: We study a model of two-player, zero-sum, stopping games with asymmetric information. We assume that the payoff depends on two continuous-time Markov chains (X, Y), where X is only observed by player 1 and Y only 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.

Date: 2017-11
New Economics Papers: this item is included in nep-gth and nep-mic
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Citations: View citations in EconPapers (4)

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Journal Article: Zero-Sum Stopping Games with Asymmetric Information (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:tse:wpaper:32183

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