Arbeitspapier

Stochastic nonzero-sum games: A new connection between singular control and optimal stopping

In this paper we establish a new connection between a class of 2-player nonzerosum games of optimal stopping and certain 2-player nonzero-sum games of singular control. We show that whenever a Nash equilibrium in the game of stopping is attained by hitting times at two separate boundaries, then such boundaries also trigger a Nash equilibrium in the game of singular control. Moreover a differential link between the players' value functions holds across the two games.

Language: Englisch

Bibliographic citation: Series: Center for Mathematical Economics Working Papers ; No. 565

Classification: Wirtschaft

Subject: games of singular control
games of optimal stopping
Nash equilibrium
onedimensional diffusion
Hamilton-Jacobi-Bellman equation
verification theorem

Event: Geistige Schöpfung

(who): De Angelis, Tiziano
Ferrari, Giorgio

Event: Veröffentlichung

(who): Bielefeld University, Center for Mathematical Economics (IMW)

(where): Bielefeld

(when): 2016

Handle: http://hdl.handle.net/10419/149022

URN: urn:nbn:de:0070-pub-29047538

Last update: 2025-03-10T11:43:20+0100

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Arbeitspapier

Associated

De Angelis, Tiziano
Ferrari, Giorgio
Bielefeld University, Center for Mathematical Economics (IMW)

Time of origin

2016

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Stochastic nonzero-sum games: A new connection between singular control and optimal stopping

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Other Objects (12)

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