De Angelis, T and Ekström, E (2020) Playing with ghosts in a Dynkin game. Stochastic Processes and their Applications. ISSN 0304-4149
Abstract
We study a class of two-player optimal stopping games (Dynkin games) of preemption type, with uncertainty about the existence of competitors. The set-up is well-suited to model, for example, real options in the context of investors who do not want to publicly reveal their interest in a certain business opportunity. We show that if the underlying process is a Rd-valued, continuous, strong Markov process, and the stopping payoff is a continuous function (with mild integrability properties) there exists a Nash equilibrium in randomised stopping times for the game. Moreover, the equilibrium strategies and the expected payoffs of the two players are computed explicitly in terms of the corresponding one-player game. To the best of our knowledge this is the first paper to address this version of Dynkin games.
Metadata
Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2020 Elsevier B.V. All rights reserved. This is an author produced version of an article published in Stochastic Processes and their Applications. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | Dynkin games; Uncertain competition; Randomised strategies; Nash equilibria; Reflecting strategies |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Engineering & Physical Sciences (Leeds) > School of Mathematics (Leeds) > Statistics (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 07 May 2020 13:00 |
Last Modified: | 12 May 2021 00:38 |
Status: | Published online |
Publisher: | Elsevier |
Identification Number: | https://doi.org/10.1016/j.spa.2020.05.005 |