Nash equilibria of threshold type for two-player nonzero-sum games of stopping
Probability
2017-08-03 v3 Optimization and Control
Abstract
This paper analyses two-player nonzero-sum games of optimal stopping on a class of linear regular diffusions with not non-singular boundary behaviour (in the sense of It\^o and McKean (1974), p.\ 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.
Keywords
Cite
@article{arxiv.1508.03989,
title = {Nash equilibria of threshold type for two-player nonzero-sum games of stopping},
author = {Tiziano De Angelis and Giorgio Ferrari and John Moriarty},
journal= {arXiv preprint arXiv:1508.03989},
year = {2017}
}
Comments
29 pages; small edits in the text, updated acknowledgement of funding