Nash equilibria in a class of Markov stopping games with total reward criterion

2021 ◽  
Author(s):  
Rolando Cavazos-Cadena ◽  
Mario Cantú-Sifuentes ◽  
Imelda Cerda-Delgado
Keyword(s):  
Nash Equilibria ◽  
Total Reward ◽  
Stopping Games ◽  
Reward Criterion

scholarly journals Markov stopping games with an absorbing state and total reward criterion

Kybernetika ◽  
2021 ◽  
pp. 474-492
Author(s):  
Rolando Cavazos-Cadena ◽  
Luis Rodríguez-Gutiérrez ◽  
Dulce María Sánchez-Guillermo
Keyword(s):  
Total Reward ◽  
Absorbing State ◽  
Stopping Games ◽  
Reward Criterion

scholarly journals Dynkin games with heterogeneous beliefs

2017 ◽  
Vol 54 (1) ◽  
pp. 236-251 ◽  
Author(s):  
Erik Ekström ◽  
Kristoffer Glover ◽  
Marta Leniec
Keyword(s):  
Optimal Stopping ◽  
Nash Equilibria ◽  
Heterogeneous Beliefs ◽  
Stopping Times ◽  
Value Functions ◽  
Natural Conditions ◽  
Dynkin Games ◽  
Zero Sum ◽  
Stopping Games ◽  
The Given

AbstractWe study zero-sum optimal stopping games (Dynkin games) between two players who disagree about the underlying model. In a Markovian setting, a verification result is established showing that if a pair of functions can be found that satisfies some natural conditions then a Nash equilibrium of stopping times is obtained, with the given functions as the corresponding value functions. In general, however, there is no uniqueness of Nash equilibria, and different equilibria give rise to different value functions. As an example, we provide a thorough study of the game version of the American call option under heterogeneous beliefs. Finally, we also study equilibria in randomized stopping times.

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