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Continuous-Time Dynkin Games with Mixed Strategies

Author

Listed:
  • Nicolas Vieille

    () (GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC - HEC Paris - Ecole des Hautes Etudes Commerciales - CNRS - Centre National de la Recherche Scientifique)

  • Nizar Touzi

    ()

Abstract

Let (X,Y,Z) be a triple of payoff processes defining a Dynkin game \tilde R(\sigma,\tau) &=& E\left[ X_\sigma\1_{\{\tau > \sigma\}} +Y_\tau \1_{\{\tau

Suggested Citation

  • Nicolas Vieille & Nizar Touzi, 2002. "Continuous-Time Dynkin Games with Mixed Strategies," Post-Print hal-00465013, HAL.
  • Handle: RePEc:hal:journl:hal-00465013
    DOI: 10.1137/S0363012900369812
    Note: View the original document on HAL open archive server: https://hal-hec.archives-ouvertes.fr/hal-00465013
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    Cited by:

    1. Bonatti, Alessandro & Hörner, Johannes, 2017. "Learning to disagree in a game of experimentation," Journal of Economic Theory, Elsevier, vol. 169(C), pages 234-269.
    2. Bayraktar, Erhan & Yao, Song, 2015. "Doubly reflected BSDEs with integrable parameters and related Dynkin games," Stochastic Processes and their Applications, Elsevier, vol. 125(12), pages 4489-4542.
    3. Hamadène, S. & Wang, H., 2009. "BSDEs with two RCLL reflecting obstacles driven by Brownian motion and Poisson measure and a related mixed zero-sum game," Stochastic Processes and their Applications, Elsevier, vol. 119(9), pages 2881-2912, September.
    4. 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.
    5. Gechun Liang & Haodong Sun, 2018. "Dynkin games with Poisson random intervention times," Papers 1803.00329, arXiv.org, revised Jul 2019.
    6. Riedel, Frank & Steg, Jan-Henrik, 2017. "Subgame-perfect equilibria in stochastic timing games," Journal of Mathematical Economics, Elsevier, vol. 72(C), pages 36-50.
    7. Gensbittel, Fabien & Grün, Christine, 2017. "Zero-sum stopping games with asymmetric information," TSE Working Papers 17-859, Toulouse School of Economics (TSE).
    8. Shmaya, Eran & Solan, Eilon, 2004. "Zero-sum dynamic games and a stochastic variation of Ramsey's theorem," Stochastic Processes and their Applications, Elsevier, vol. 112(2), pages 319-329, August.
    9. Christian Seel & Philipp Strack, 2016. "Continuous Time Contests with Private Information," Mathematics of Operations Research, INFORMS, vol. 41(3), pages 1093-1107, August.
    10. Steg, Jan-Henrik, 2018. "Preemptive investment under uncertainty," Games and Economic Behavior, Elsevier, vol. 110(C), pages 90-119.
    11. Erhan Bayraktar & Song Yao, 2015. "On the Robust Dynkin Game," Papers 1506.09184, arXiv.org, revised Sep 2016.
    12. Rida Laraki & Eilon Solan, 2012. "Equilibrium in Two-Player Nonzero-Sum Dynkin Games in Continuous Time," Working Papers hal-00753508, HAL.
    13. Tiziano De Angelis & Erik Ekstrom & Kristoffer Glover, 2018. "Dynkin games with incomplete and asymmetric information," Papers 1810.07674, arXiv.org, revised Jul 2020.
    14. Tiziano De Angelis & Nikita Merkulov & Jan Palczewski, 2020. "On the value of non-Markovian Dynkin games with partial and asymmetric information," Papers 2007.10643, arXiv.org.
    15. Jan-Henrik Steg, 2015. "Symmetric Equilibria in Stochastic Timing Games," Papers 1507.04797, arXiv.org, revised May 2018.
    16. Zhou Zhou, 2015. "Non-zero-sum stopping games in discrete time," Papers 1508.06032, arXiv.org.
    17. Gad, Kamille Sofie Tågholt & Matomäki, Pekka, 2020. "Optimal variance stopping with linear diffusions," Stochastic Processes and their Applications, Elsevier, vol. 130(4), pages 2349-2383.
    18. Christensen, Sören & Lindensjö, Kristoffer, 2020. "On time-inconsistent stopping problems and mixed strategy stopping times," Stochastic Processes and their Applications, Elsevier, vol. 130(5), pages 2886-2917.
    19. Kolb, Aaron M., 2015. "Optimal entry timing," Journal of Economic Theory, Elsevier, vol. 157(C), pages 973-1000.
    20. Boyarchenko, Svetlana & Levendorskiĭ, Sergei, 2014. "Preemption games under Lévy uncertainty," Games and Economic Behavior, Elsevier, vol. 88(C), pages 354-380.
    21. Tiziano De Angelis & Erik Ekstrom, 2019. "Playing with ghosts in a Dynkin game," Papers 1905.06564, arXiv.org.
    22. 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.

    More about this item

    Keywords

    optimal stopping; Dynkin games; stochastic analysis; minimax theorem;

    JEL classification:

    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games

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