Deterministic multi-player Dynkin games

Eilon Solan, Nicolas Vieille

Research output: Contribution to journalArticlepeer-review

Abstract

A multi-player Dynkin game is a sequential game in which at every stage one of the players is chosen, and that player can decide whether to continue the game or to stop it, in which case all players receive some terminal payoff.We study a variant of this model, where the order by which players are chosen is deterministic, and the probability that the game terminates once the chosen player decides to stop may be strictly less than 1.We prove that a subgame-perfect ε-equilibrium in Markovian strategies exists. If the game is not degenerate this ε-equilibrium is actually in pure strategies.

Original languageEnglish
Pages (from-to)911-929
Number of pages19
JournalJournal of Mathematical Economics
Volume39
Issue number8
DOIs
StatePublished - Nov 2003

Keywords

  • Dynkin game
  • Equilibrium
  • Stochastic game
  • n-player games

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