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 |
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Pages (from-to) | 997-1014 |
Number of pages | 18 |
Journal | Stochastics |
Volume | 85 |
Issue number | 6 |
DOIs | |
State | Published - Dec 2013 |
Keywords
- Dynkin games
- continuous time
- equilibrium
- stochastic analysis
- stopping games