De Angelis, T, Ferrari, G and Moriarty, J (2018) Nash equilibria of threshold type for two-player nonzero-sum games of stopping. Annals of Applied Probability, 28 (1). pp. 112-147. ISSN 1050-5164
Abstract
This paper analyses two-player nonzero-sum games of optimal stopping on a class of linear regular diffusions with not non-singular boundary behaviour (in the sense of Itȏ and McKean (1974), p. 108). We provide suffcient conditions under which Nash equilibria are realised by each player stopping the diffusion at one of the two boundary points of an interval. The boundaries of this interval solve a system of algebraic equations. We also provide conditions sufficient for the uniqueness of the equilibrium in this class.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | (c) Institute of Mathematical Statistics, 2018. Reproduced in accordance with the publisher's self-archiving policy. |
Keywords: | nonzero-sum Dynkin games; Nash equilibrium; smooth- t principle; regular diffusions; free boundary problems |
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: | 20 Apr 2017 11:34 |
Last Modified: | 10 May 2019 11:25 |
Published Version: | https://www.e-publications.org/ims/submission/AAP/... |
Status: | Published |
Publisher: | Institute of Mathematical Statistics |
Identification Number: | 10.1214/17-AAP1301 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:115210 |