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Nash equilibria of threshold type for two-player nonzero-sum games of stopping

Author

Listed:
  • de Angelis, Tiziano

    (Center for Mathematical Economics, Bielefeld University)

  • Ferrari, Giorgio

    (Center for Mathematical Economics, Bielefeld University)

  • Moriarty, John

    (Center for Mathematical Economics, Bielefeld University)

Abstract

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.

Suggested Citation

  • de Angelis, Tiziano & Ferrari, Giorgio & Moriarty, John, 2016. "Nash equilibria of threshold type for two-player nonzero-sum games of stopping," Center for Mathematical Economics Working Papers 563, Center for Mathematical Economics, Bielefeld University.
    • Handle: RePEc:bie:wpaper:563
    as

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    File URL: https://pub.uni-bielefeld.de/download/2904748/2904761
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    nonzero-sum Dynkin games; Nash equilibrium; smooth-fit principle; regular diffusions; free boundary problems;
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