Continuous Time Contests with Private Information

Konferenzbeitrag

This paper introduces a class of contest models in which each player decides when to stop a privately observed Brownian motion with drift and incurs costs depending on his stopping time. The player who stops his process at the highest value wins a prize. We prove existence and uniqueness of a Nash equilibrium outcome and derive the equilibrium distribution in closed form. As the variance tends to zero, the equilibrium outcome converges to the symmetric equilibrium of an all-pay auction. For two players and constant costs, each player's equilibrium pro fit decreases if the drift increases, the variance decreases, or the costs increase.

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• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2014: Evidenzbasierte Wirtschaftspolitik - Session: Game Theory and Welfare Economics ; No. B12-V1

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Noncooperative Games ; Stochastic and Dynamic Games; Evolutionary Games; Repeated Games ; Auctions

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Seel, Christian ; Stracky, Philipp
• Ereignis: Veröffentlichung
• (wer): ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft
• (wo): Kiel und Hamburg
• (wann): 2014

Weitere Informationen

• Handle: http://hdl.handle.net/10419/100527