NASH EQUILIBRIA OF THRESHOLD TYPE FOR TWO-PLAYER NONZERO-SUM GAMES OF STOPPING

• 成果类型: Article
• 署名作者: De Angelis, Tiziano; Ferrari, Giorgio; Moriarty, John
• 署名单位: University of Leeds; University of Bielefeld; University of London; Queen Mary University London
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/17-AAP1301
• 发表日期: 2018
• 页码: 112-147
• 关键词: continuous-time; dynkin games; DISCRETE-TIME; preemption; DIFFUSIONS; options

摘要

This paper analyses two-player nonzero-sum games of optimal stopping on a class of linear regular diffusions with not nonsingular boundary behaviour [in the sense of Ito and McKean (Diffusion Processes and Their Sample Paths (1974) Springer, page 108)]. We provide sufficient conditions under which Nash equilibria are realised by each player stopping the diffusion at one of the two boundary points of an interval. The boundaries of this interval solve a system of algebraic equations. We also provide conditions sufficient for the uniqueness of the equilibrium in this class.