Continuous Time Contests with Private Information

• 成果类型: Article
• 署名作者: Seel, Christian; Strack, Philipp
• 署名单位: Maastricht University; University of California System; University of California Berkeley
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.2015.0769
• 发表日期: 2016
• 页码: 1093-1107
• 关键词: optimal stopping time; dynkin games; pay; equilibrium

摘要

This paper introduces a class of contest models in which each player decides when to stop a privately observed Brownian motion with drift and incurs costs depending on his stopping time. The player who stops his process at the highest value wins a prize. We prove existence and uniqueness of a Nash equilibrium outcome and derive the equilibrium distribution in closed form. As the variance tends to zero, the equilibrium outcome converges to the symmetric equilibrium of an all-pay auction. For two players and constant costs, each player's equilibrium profit decreases if the drift increases, the variance decreases, or the costs decrease.