Equilibria in Continuous Time Preemption Games with Spectrally-Negative Markovian Payoffs

This paper studies timing games in continuous time where payoffs are stochastic, strongly Markovian, and spectrally negative. The main interest is in characterizing equilibria where players preempt each other along almost every sample path as opposed to equilibria where one of the players acts as if she were the (exogenously determined) leader in a Stackelberg game. It is found that the existence of such preemptive and Stackelberg equilibria depends crucially on whether there is a coordination mechanism that allows for rent equalization or not. Such a coordination mechanism is introduced and embedded in the timing game.