Non-zero-sum stopping games in continuous time

Abstract: On a filtered probability space

(O m e g a, m a t h c a l F, (m a t h c a l F_{t})_{t i n [0, i n f t y]}, m a t h b b P)

, we consider the two-player non-zero-sum stopping game

u^{i} := m a t h b b E [U^{i} (h o, a u)], i = 1, 2

, where the first player choose a stopping strategy

h o

to maximize

u^{1}

and the second player chose a stopping strategy

a u

to maximize

u^{2}

. Unlike the Dynkin game, here we assume that

U (s, t)

is

m a t h c a l F_{s v e e t}

-measurable. Assuming the continuity of

U^{i}

in

(s, t)

, we show that there exists an

e p s i l o n

-Nash equilibrium for any

e p s i l o n > 0

.

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