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Playing with ghosts...
Playing with ghosts in a Dynkin game
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- De Angelis, Tiziano (författare)
- Univ Leeds, Sch Math, Leeds LS2 9JT, W Yorkshire, England.
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- Ekström, Erik, 1977- (författare)
- Uppsala universitet,Matematiska institutionen
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Univ Leeds, Sch Math, Leeds LS2 9JT, W Yorkshire, England Matematiska institutionen (creator_code:org_t)
- Elsevier BV, 2020
- 2020
- Engelska.
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Ingår i: Stochastic Processes and their Applications. - : Elsevier BV. - 0304-4149 .- 1879-209X. ; 130:10, s. 6133-6156
- Relaterad länk:
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https://eprints.whit...
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visa fler...
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https://urn.kb.se/re...
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https://doi.org/10.1...
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Abstract
Ämnesord
Stäng
- We study a class of two-player optimal stopping games (Dynkin games) of preemption type, with uncertainty about the existence of competitors. The set-up is well-suited to model, for example, real options in the context of investors who do not want to publicly reveal their interest in a certain business opportunity. We show that if the underlying process is a R-d-valued, continuous, strong Markov process, and the stopping payoff is a continuous function (with mild integrability properties) there exists a Nash equilibrium in randomised stopping times for the game. Moreover, the equilibrium strategies and the expected payoffs of the two players are computed explicitly in terms of the corresponding one-player game. To the best of our knowledge this is the first paper to address this version of Dynkin games.
Ämnesord
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Nyckelord
- Dynkin games
- Uncertain competition
- Randomised strategies
- Nash equilibria
- Reflecting strategies
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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