Nash equilibria of threshold type for two-player nonzero-sum games of stopping
نویسندگان
چکیده
منابع مشابه
Nash equilibria of threshold type for two-player nonzero-sum games of stopping
This paper analyses two-player nonzero-sum games of optimal stopping on a class of regular diffusions with singular boundary behaviour (in the sense of Itô and McKean (1974) [19], p. 108). We prove that Nash equilibria are realised by stopping the diffusion at the first exit time from suitable intervals whose boundaries solve a system of algebraic equations. Under mild additional assumptions we...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2018
ISSN: 1050-5164
DOI: 10.1214/17-aap1301