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

Rida Laraki, Eilon Solan

Research output: Contribution to journalArticlepeer-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 languageEnglish
Pages (from-to)997-1014
Number of pages18
JournalStochastics
Volume85
Issue number6
DOIs
StatePublished - Dec 2013

Keywords

  • Dynkin games
  • continuous time
  • equilibrium
  • stochastic analysis
  • stopping games

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