Optimal stopping games and Nash equilibrium
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Publication:3556744
DOI10.1137/S0040585X97983821zbMATH Open1209.91052MaRDI QIDQ3556744FDOQ3556744
Authors: Goran Peskir 
Publication date: 26 April 2010
Published in: Theory of Probability & Its Applications (Search for Journal in Brave)
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free boundary problemNash equilibriumprinciple of smooth fitoptimal stopping gameoptimal stopping, Markov processprinciple of continuous fitsemi-harmonic characterization of the value function
Stopping times; optimal stopping problems; gambling theory (60G40) Probabilistic games; gambling (91A60)
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- Optimality of Two-Parameter Strategies in Stochastic Control
- Multidimensional investment problem
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- A class of solvable stopping games
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- The Gapeev-Kühn stochastic game driven by a spectrally positive Lévy process
- Nash equilibria in a class of Markov stopping games
- Two-Sided Singular Control of an Inventory with Unknown Demand Trend
- Nonzero-sum games of optimal stopping and generalized Nash equilibrium problems
- Existence of a quasi-markov nash equilibrium for non-zero sum markov stopping games
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- A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis
- Nash equilibrium and the Legendre transform in optimal stopping games with one dimensional diffusions
- A Dynkin game on assets with incomplete information on the return
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- American step-up and step-down default swaps under Lévy models
- Stochastic Perron's method and verification without smoothness using viscosity comparison: obstacle problems and Dynkin games
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- A harmonic function approach to Nash-equilibria of Kifer-type stopping games
- Optimal Stopping Games for Markov Processes
- Nash Equilibrium in a Game Version of the Elfving Problem.
- A Mean Field Game of Optimal Stopping
- Arbitrage-free pricing of multi-person game claims in discrete time
- A Singular Stochastic Control Problem with Interconnected Dynamics
- Game approach to the optimal stopping problem†
- Variational inequalities and Dynkin games for Markov processes associated with semi-Dirichlet forms
- Noncooperative n-player cyclic stopping games
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- Discrete time stochastic multi-player competitive games with affine payoffs
- A zero-sum competitive multi-player game
- Nash equilibrium in nonzero-sum games of optimal stopping for Brownian motion
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