scholarly journals Non-Zero-Sum Stopping Games in Continuous Time

2015 ◽  
Author(s):  
Zhou Zhou
Keyword(s):  
Continuous Time ◽  
Zero Sum ◽  
Stopping Games

scholarly journals The Value of Zero-Sum Stopping Games in Continuous Time

2005 ◽  
Vol 43 (5) ◽  
pp. 1913-1922 ◽  
Author(s):  
Rida Laraki ◽  
Eilon Solan
Keyword(s):  
Continuous Time ◽  
Zero Sum ◽  
Stopping Games

Bias and overtaking equilibria for zero-sum continuous-time Markov games

2005 ◽  
Vol 61 (3) ◽  
pp. 437-454 ◽  
Author(s):  
Tomás Prieto-Rumeau ◽  
Onésimo Hernández-Lerma
Keyword(s):  
Continuous Time ◽  
Markov Games ◽  
Zero Sum

scholarly journals Zero-sum continuous-time Markov games with unbounded transition and discounted payoff rates

Bernoulli ◽  
2005 ◽  
Vol 11 (6) ◽  
pp. 1009-1029 ◽  
Author(s):  
Xianping Guo ◽  
Onésimo Hernández-Lerma
Keyword(s):  
Continuous Time ◽  
Markov Games ◽  
Zero Sum

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.

Monotone stopping games

1987 ◽  
Vol 24 (02) ◽  
pp. 386-401 ◽  
Author(s):  
John W. Mamer
Keyword(s):  
Nash Equilibrium ◽  
Optimal Stopping ◽  
Nash Equilibria ◽  
Stopping Times ◽  
Optimal Stopping Problem ◽  
Optimal Stopping Problems ◽  
Zero Sum ◽  
Stopping Games

We consider the extension of optimal stopping problems to non-zero-sum strategic settings called stopping games. By imposing a monotone structure on the pay-offs of the game we establish the existence of a Nash equilibrium in non-randomized stopping times. As a corollary, we identify a class of games for which there are Nash equilibria in myopic stopping times. These games satisfy the strategic equivalent of the classical ‘monotone case' assumptions of the optimal stopping problem.

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