Exit Game with Private Information

• 成果类型: Article; Early Access
• 署名作者: Kwon, H. Dharma; Palczewski, Jan
• 署名单位: University of Illinois System; University of Illinois Urbana-Champaign; University of Leeds
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.2022.0285
• 发表日期: 2024
• 关键词: sum dynkin game; WAR; equilibria

摘要

The timing of strategic exit is one of the most important but difficult business decisions, especially under competition and uncertainty. Motivated by this problem, we examine a stochastic game of exit in which players are uncertain about their competitor's exit value. We construct an equilibrium for a large class of payoff flows driven by a general one-dimensional diffusion. In the equilibrium, the players employ sophisticated exit strategies involving both the state variable and the posterior belief process. These strategies are specified explicitly in terms of the problem data and a solution to an auxiliary optimal stopping problem. The equilibrium that we obtain is further shown to be unique within a wide subclass of symmetric Bayesian equilibria.