Equilibrium in two-player non-zero-sum Dynkin games in continuous time

Rida Laraki; Eilon Solan

doi:10.1080/17442508.2012.726222

Equilibrium in two-player non-zero-sum Dynkin games in continuous time

Rida Laraki, Eilon Solan^*

^*Corresponding author for this work

School of Mathematical Sciences

Research output: Contribution to journal › Article › peer-review

Abstract

We prove that every two-player non-zero-sum Dynkin game in continuous time admits an ε{lunate}-equilibrium in randomized stopping times. We provide a condition that ensures the existence of an ε{lunate}-equilibrium in non-randomized stopping times.

Original language	English
Pages (from-to)	997-1014
Number of pages	18
Journal	Stochastics
Volume	85
Issue number	6
DOIs	https://doi.org/10.1080/17442508.2012.726222
State	Published - Dec 2013

Keywords

Dynkin games
continuous time
equilibrium
stochastic analysis
stopping games

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10.1080/17442508.2012.726222

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abstract = "We prove that every two-player non-zero-sum Dynkin game in continuous time admits an ε{lunate}-equilibrium in randomized stopping times. We provide a condition that ensures the existence of an ε{lunate}-equilibrium in non-randomized stopping times.",

keywords = "Dynkin games, continuous time, equilibrium, stochastic analysis, stopping games",

author = "Rida Laraki and Eilon Solan",

note = "Funding Information: We thank Said Hamad{\`e}ne for his assistance and for his helpful comments. The work of Solan was supported by the Israel Science Foundation, Grant 212/09.",

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KW - continuous time

KW - equilibrium

KW - stochastic analysis

KW - stopping games

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Equilibrium in two-player non-zero-sum Dynkin games in continuous time

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Keywords

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