Kwon, H.D. and Palczewski, J. orcid.org/0000-0003-0235-8746 (2024) Exit Game with Private Information. Mathematics of Operations Research. ISSN 0364-765X
Abstract
The timing of strategic exit is one of the most important but difficult business decisions, especially under competition and uncertainty. Motivated by this problem, we examine a stochastic game of exit in which players are uncertain about their competitor’s exit value. We construct an equilibrium for a large class of payoff flows driven by a general one-dimensional diffusion. In the equilibrium, the players employ sophisticated exit strategies involving both the state variable and the posterior belief process. These strategies are specified explicitly in terms of the problem data and a solution to an auxiliary optimal stopping problem. The equilibrium that we obtain is further shown to be unique within a wide subclass of symmetric Bayesian equilibria.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | This is an author produced version of an article published in Mathematics of Operations Research, made available under the terms of the Creative Commons Attribution License (CC BY), which permits unrestricted use, distribution and reproduction in any medium, provided the original work is properly cited. |
Keywords: | non-zero sum game, exit game, asymmetric information, optimal stopping, Nash equilibrium, declining market |
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: | 17 Oct 2024 13:52 |
Last Modified: | 18 Oct 2024 12:23 |
Status: | Published online |
Publisher: | Institute for Operations Research and the Management Sciences (INFORMS) |
Identification Number: | 10.1287/moor.2022.0285 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:218498 |