Arbeitspapier
Nash equilibria of threshold type for two-player nonzero-sum games of stopping
This paper analyses two-player nonzero-sum games of optimal stopping on a class of regular diffusions with singular boundary behaviour (in the sense of Itô and McKean (1974) [19], p. 108). We prove that Nash equilibria are realised by stopping the diffusion at the first exit time from suitable intervals whose boundaries solve a system of algebraic equations. Under mild additional assumptions we also prove uniqueness of the equilibrium.
- Sprache
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Englisch
- Erschienen in
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Series: Center for Mathematical Economics Working Papers ; No. 563
- Klassifikation
-
Wirtschaft
- Thema
-
nonzero-sum Dynkin games
Nash equilibrium
smooth-fit principle
regular diffusions
free boundary problems
- Ereignis
-
Geistige Schöpfung
- (wer)
-
De Angelis, Tiziano
Ferrari, Giorgio
Moriarty, John
- Ereignis
-
Veröffentlichung
- (wer)
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Bielefeld University, Center for Mathematical Economics (IMW)
- (wo)
-
Bielefeld
- (wann)
-
2016
- Handle
- URN
-
urn:nbn:de:0070-pub-29047482
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- De Angelis, Tiziano
- Ferrari, Giorgio
- Moriarty, John
- Bielefeld University, Center for Mathematical Economics (IMW)
Entstanden
- 2016
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