Equilibrium in two-player non-zero-sum Dynkin games in continuous time

DOI10.1080/17442508.2012.726222zbMath1284.91040arXiv1009.5627OpenAlexW2065999043MaRDI QIDQ5410819

Eilon Solan, Rida Laraki

Publication date: 17 April 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1009.5627

zbMATH Keywords

equilibriumDynkin gamescontinuous timestochastic analysisstopping games

Mathematics Subject Classification ID

Noncooperative games (91A10) 2-person games (91A05) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15)

Related Items

A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria ⋮ Recursive Construction of a Nash Equilibrium in a Two-Player Nonzero-Sum Stopping Game with Asymmetric Information ⋮ Continuous Time Contests with Private Information ⋮ Subgame-perfect equilibria in stochastic timing games ⋮ Stochastic Games ⋮ Arbitrage-free pricing of multi-person game claims in discrete time ⋮ Nash equilibria of threshold type for two-player nonzero-sum games of stopping ⋮ Nonzero-sum games of optimal stopping for Markov processes ⋮ Discrete stop-or-go games ⋮ Nash equilibrium in nonzero-sum games of optimal stopping for Brownian motion

Cites Work

• Properties of game options
• Non zero-sum stopping games of symmetric Markov processes
• Continuous-time games of timing
• Two-player nonzero-sum stopping games in discrete time.
• The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options
• Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski
• Mixed Zero-Sum Stochastic Differential Game and American Game Options
• Arbitrage pricing of defaultable game options with applications to convertible bonds
• The War of Attrition in Continuous Time with Complete Information
• Sur un problème de dynkin
• Noncooperative n-player cyclic stopping games
• Continuous-Time Dynkin Games with Mixed Strategies
• The Value of Zero-Sum Stopping Games in Continuous Time
• Game options

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