Nash Equilibria for Dividend Distribution with Competition

• 成果类型: Article; Early Access
• 署名作者: De Angelis, Tiziano; Gensbittel, Fabien; Villeneuve, Phane
• 署名单位: University of Turin; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.2023.0374
• 发表日期: 2025
• 关键词: continuous-time; games; strategies; MODEL; EXIT

摘要

We construct Nash equilibria in feedback form for a class of two-person stochastic games of singular control with absorption, arising from a stylized model for corporate finance. More precisely, the paper focuses on a strategic dynamic game in which two financially constrained firms operate in the same market. The firms distribute dividends and are faced with default risk. The strategic interaction arises from the fact that if one firm defaults, the other one becomes a monopolist and increases its profitability. The firms choose their dividend distribution policies from a class of randomized strategies, and we identify two types of equilibria, depending on the firms' initial endowments. In both situations, the optimal strategies and the equilibrium payoffs are found explicitly.