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Deterministic Multi-Player Dynkin Games

Author

Listed:
  • Eilon Solan

    (TAU - School of Mathematical Sciences [Tel Aviv] - TAU - Raymond and Beverly Sackler Faculty of Exact Sciences [Tel Aviv] - TAU - Tel Aviv University, MEDS, Northwestern University - Northwestern University [Evanston])

  • 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)

Abstract

A multi-player Dynkin game is a sequential game in which at every stage one of the players is chosen, and that player can decide whether to continue the game or to stop it, in which case all players receive some terminal payoff. We study a variant of this model, where the order by which players are chosen is deterministic, and the probability that the game terminates once the chosen player decides to stop may be strictly less than one. We prove that a subgame-perfect e-equilibrium in Markovian strategies exists. If the game is not degenerate this e-equilibrium is actually in pure strategies.

Suggested Citation

  • Eilon Solan & Nicolas Vieille, 2003. "Deterministic Multi-Player Dynkin Games," Working Papers hal-00591681, HAL.
    • Handle: RePEc:hal:wpaper:hal-00591681
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    JEL classification:

    • C68 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computable General Equilibrium Models
    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games

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