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Discrete time stochastic multi-player competitive games with affine payoffs

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  • Guo, Ivan
  • Rutkowski, Marek

Abstract

A novel class of multi-player competitive stochastic games in discrete-time with an affine specification of the redistribution of payoffs at exercise is examined. The affine games cover as a very special case the classic two-person stochastic stopping games introduced by Dynkin (1969). We first extend to the case of a single-period deterministic affine game the results from Guo and Rutkowski (2012, 2014) where the so-called redistribution games were studied. We identify conditions under which optimal equilibria and value for a multi-player affine game exist. We also examine stochastic multi-period affine games and we show that, under mild assumptions, they can be solved by the method of backward induction.

Suggested Citation

  • Guo, Ivan & Rutkowski, Marek, 2016. "Discrete time stochastic multi-player competitive games with affine payoffs," Stochastic Processes and their Applications, Elsevier, vol. 126(1), pages 1-32.
  • Handle: RePEc:eee:spapps:v:126:y:2016:i:1:p:1-32
    DOI: 10.1016/j.spa.2015.07.013
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    References listed on IDEAS

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    1. Dinah Rosenberg & Eilon Solan & Nicolas Vieille, 1999. "Stopping Games with Randomized Strategies," Discussion Papers 1258, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    2. Solan, Eilon & Vieille, Nicolas, 2003. "Deterministic multi-player Dynkin games," Journal of Mathematical Economics, Elsevier, vol. 39(8), pages 911-929, November.
    3. repec:dau:papers:123456789/6017 is not listed on IDEAS
    4. Tianyang Nie & Marek Rutkowski, 2014. "Fair and profitable bilateral prices under funding costs and collateralization," Papers 1410.0448, arXiv.org, revised Dec 2014.
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    7. Eilon Solan & Nicholas Vieille, 2001. "Quitting Games - An Example," Discussion Papers 1314, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    8. Kats, Amoz & Thisse, Jacques-Francois, 1992. "Unilaterally Competitive Games," International Journal of Game Theory, Springer;Game Theory Society, vol. 21(3), pages 291-299.
    9. Yuri Kifer, 2000. "Game options," Finance and Stochastics, Springer, vol. 4(4), pages 443-463.
    10. Touzi, N. & Vieille, N., 1999. "Continuous-Time Dynkin Games with Mixed Strategies," Papiers d'Economie Mathématique et Applications 1999.112, Université Panthéon-Sorbonne (Paris 1).
    11. Rida Laraki & Eilon Solan, 2012. "Equilibrium in Two-Player Nonzero-Sum Dynkin Games in Continuous Time," Working Papers hal-00753508, HAL.
    12. Ivan Guo & Marek Rutkowski, 2014. "Arbitrage Pricing of Multi-person Game Contingent Claims," Papers 1405.2718, arXiv.org.
    13. Said Hamadène & Mohammed Hassani, 2014. "The multi-player nonzero-sum Dynkin game in discrete time," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 79(2), pages 179-194, April.
    14. Nie, Tianyang & Rutkowski, Marek, 2014. "Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection," Stochastic Processes and their Applications, Elsevier, vol. 124(8), pages 2672-2698.
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