Equilibrium in Two-Player Nonzero-Sum Dynkin Games in Continuous Time
We prove that every two-player nonzero-sum Dynkin game in continuous time admits an "epsilon" equilibrium in randomized stopping times. We provide a condition that ensures the existence of an "epsilon" equilibrium in nonrandomized stopping times.
|Date of creation:||19 Nov 2012|
|Note:||View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00753508|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
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.:
- Grenadier, Steven R, 1996. " The Strategic Exercise of Options: Development Cascades and Overbuilding in Real Estate Markets," Journal of Finance, American Finance Association, vol. 51(5), pages 1653-1679, December.
- Laraki, Rida & Solan, Eilon & Vieille, Nicolas, 2005.
"Continuous-time games of timing,"
Journal of Economic Theory,
Elsevier, vol. 120(2), pages 206-238, February.
- Nicolas Vieille & Eilon Solan & Rida Laraki, 2005. "Continuous-time games of timing," Post-Print hal-00464672, HAL.
- Nicolas, VIEILLE & Rida, LARAKI & Eilon, SOLAN, 2003. "Continuous-Time Games of Timing," Les Cahiers de Recherche 773, HEC Paris.
- Rida Laraki & Eilon Solan & Nicolas Vieille, 2003. "Continuous-Time Games of Timing," Working Papers hal-00591682, HAL.
- Rida Laraki & Eilon Solan & Nicolas Vieille, 2003. "Continuous-time Games of Timing," Discussion Papers 1363, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Eran Shmaya & Eilon Solan, 2002. "Two Player Non Zero-Sum Stopping Games in Discrete Time," Discussion Papers 1347, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Rida Laraki & Eilon Solan, 2002. "Stopping Games in Continuous Time," Discussion Papers 1354, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Yuri Kifer, 2000. "Game options," Finance and Stochastics, Springer, vol. 4(4), pages 443-463.
- Hendricks, Kenneth & Weiss, Andrew & Wilson, Charles, 1987.
"The War of Attrition in Continuous Time with Complete Information,"
87-03, C.V. Starr Center for Applied Economics, New York University.
- Hendricks, Ken & Weiss, Andrew & Wilson, Charles A, 1988. "The War of Attrition in Continuous Time with Complete Information," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 29(4), pages 663-680, November.
- Tomasz Bielecki & Stephane Crepey & Monique Jeanblanc & Marek Rutkowski, 2008. "Arbitrage pricing of defaultable game options with applications to convertible bonds," Quantitative Finance, Taylor & Francis Journals, vol. 8(8), pages 795-810.
- Dinah Rosenberg & Nicolas Vieille & Eilon Solan, 2001.
"Stopping games with randomized strategies,"
- Drew Fudenberg & Jean Tirole, 1991. "Game Theory," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262061414.
When requesting a correction, please mention this item's handle: RePEc:hal:wpaper:hal-00753508. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD)
If references are entirely missing, you can add them using this form.