A Class of Solvable Stopping Games
AbstractWe consider a class of Dynkin games in the case where the underlying process evolves according to a one-dimensional but otherwise general diffusion. We establish general conditions under which both the value and the saddle point equilibrium exist and under which the exercise boundaries characterizing the saddle point strategy can be explicitly characterized in terms of a pair of standard first order necessary conditions for optimality. We also analyze those cases where an extremal pair of boundaries exists and show that there are circumstances under which increased volatility may break up the existence of a saddle point.
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Bibliographic InfoPaper provided by Aboa Centre for Economics in its series Discussion Papers with number 11.
Date of creation: Oct 2006
Date of revision:
Dynkin games; linear diffusions; fundamental solutions; minimal excessive functions;
Find related papers by JEL classification:
- C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
- C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Yuri Kifer, 2000. "Game options," Finance and Stochastics, Springer, vol. 4(4), pages 443-463.
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- S\"oren Christensen, 2011. "Optimal decision under ambiguity for diffusion processes," Papers 1110.3897, arXiv.org, revised Oct 2012.
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