De Angelis, T and Ferrari, G (2018) Stochastic nonzero-sum games: a new connection between singular control and optimal stopping. Advances in Applied Probability, 50 (2). pp. 347-372. ISSN 0001-8678
Abstract
In this paper we establish a new connection between a class of two-player nonzero-sum games of optimal stopping and certain two-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.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | (c) Applied Probability Trust 2018. This article has been published in a revised form in Advances in Applied Probability https://doi.org/10.1017/apr.2018.17. This version is free to view and download for private research and study only. Not for re-distribution, re-sale or use in derivative works. |
Keywords: | Games of singular control; games of optimal stopping; Nash equilibrium; one-dimensional diffusion; Hamilton–Jacobi–Bellman equation; verification theorem |
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: | 31 Jan 2018 16:31 |
Last Modified: | 12 Aug 2018 20:57 |
Status: | Published |
Publisher: | Applied Probability Trust |
Identification Number: | 10.1017/apr.2018.17 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:126819 |