Arbeitspapier
Subgame-Perfect Equilibria in Stochastic Timing Games
We introduce a notion of subgames for stochastic timing games and the related notion of subgame-perfect equilibrium in possibly mixed strategies. While a good notion of subgame-perfect equilibrium for continuous-time games is not available in general, we argue that our model is the appropriate version for timing games. We show that the notion coincides with the usual one for discrete-time games. Many timing games in continuous time have only equilibria in mixed strategies - in particular preemption games, which often occur in the strategic real option literature. We provide a sound foundation for some workhorse equilibria of that literature, which has been lacking as we show. We obtain a general constructive existence result for subgame-perfect equilibria in preemption games and illustrate our findings by several explicit applications.
- Sprache
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Englisch
- Erschienen in
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Series: Center for Mathematical Economics Working Papers ; No. 524
- Klassifikation
-
Wirtschaft
Optimization Techniques; Programming Models; Dynamic Analysis
Stochastic and Dynamic Games; Evolutionary Games; Repeated Games
Firm Behavior: Theory
Monopoly; Monopolization Strategies
- Thema
-
timing games
stochastic games
mixed strategies
subgame-perfect equilibrium in continuous time
optimal stopping
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Riedel, Frank
Steg, Jan-Henrik
- Ereignis
-
Veröffentlichung
- (wer)
-
Bielefeld University, Center for Mathematical Economics (IMW)
- (wo)
-
Bielefeld
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Riedel, Frank
- Steg, Jan-Henrik
- Bielefeld University, Center for Mathematical Economics (IMW)
Entstanden
- 2014
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