Three-person stopping game with players having privileges (Q1600596)

In this paper a three-person stopping game with players having privileges is considered. More precisely a homogeneous Markov process \((X_n, F_n, P_x)_{0\leq n\leq N}\) defined on a probability space \((\Omega, A,P)\), with state space \((E,{\mathcal E})\), is given. At each moment the players are able to observe the Markov chain sequentially. Each player has his own utility function \(g_i: E\to R\), and at each moment \(n\), decides whether to accept or reject the realization \(x_n\) of \(X_n\). If it happens that two or three players have selected the same moment \(n\) to accept \(x_n\), then a lottery decides which player gets the right of acceptance. Let \(0\leq\gamma_n\leq \delta_n\leq 1\) for \(1\leq n\leq N\). According to the lottery, at moment \(\tau\) if the three players would like to accept \(x_r\), then player 1 is chosen with probability \(\gamma_\tau\), player 2 with probability \(\delta_\tau-\gamma_\tau\) and player 3 with probability \(1-\delta_\tau\). If only two players compete at \(\tau\) for \(x_\tau\) the priority for player 1 is proportional to \(\gamma_\tau\), for player 2 to \(\delta_\tau- \gamma_\tau\) and for player 3 to \(1-\delta_\tau\). Once accepted, a realization cannot be rejected; one rejected, it cannot be reconsidered. If a player has not chosen any realization at time \(T\), he gets \(g^*_i= \inf_{x\in E} g_i(x)\). The authors prove the existence of a Nash equilibrium for such games. Then two examples (one where only player never has priority, and the other with fixed priorities) are studied numerically.