Stochastic nonzero-sum games: a new connection between singular control and optimal stopping

DOI10.1017/APR.2018.17zbMATH Open1443.91037arXiv1601.05709OpenAlexW2963550986WikidataQ59883706 ScholiaQ59883706MaRDI QIDQ5215005FDOQ5215005

Tiziano De Angelis, Giorgio Ferrari

Publication date: 5 February 2020

Published in: Advances in Applied Probability (Search for Journal in Brave)

Abstract: In this paper we establish a new connection between a class of 2-player nonzero-sum games of optimal stopping and certain $2$-player nonzero-sum games of singular control. We show that whenever a Nash equilibrium in the game of stopping is attained by hitting times at two separate boundaries, then such boundaries also trigger a Nash equilibrium in the game of singular control. Moreover a differential link between the players' value functions holds across the two games.

Full work available at URL: https://arxiv.org/abs/1601.05709

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zbMATH Keywords

Hamilton-Jacobi-Bellman equationNash equilibriumone-dimensional diffusionverification theoremgames of optimal stoppinggames of singular control

Mathematics Subject Classification ID

Diffusion processes (60J60) 2-person games (91A05) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Games of timing (91A55) Optimal stochastic control (93E20)

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Cited In (22)

• Nonzero-Sum Submodular Monotone-Follower Games: Existence and Approximation of Nash Equilibria
• On a class of singular stochastic control problems for reflected diffusions
• Dynkin Games via Dirichlet Forms and Singular Control of One-Dimensional Diffusions
• Recursive Construction of a Nash Equilibrium in a Two-Player Nonzero-Sum Stopping Game with Asymmetric Information
• Zero-sum stochastic games with stopping and control
• Interbank lending with benchmark rates: Pareto optima for a class of singular control games
• Rogue traders
• On a strategic model of pollution control
• The de Finetti Problem with Uncertain Competition
• Nash equilibria in a class of Markov stopping games with total reward criterion
• A finite step algorithm via a bimatrix game to a single controller non- zero sum stochastic game
• An optimal extraction problem with price impact
• How to Detect a Salami Slicer: A Stochastic Controller-and-Stopper Game with Unknown Competition
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• Optimal installation of renewable electricity sources: the case of Italy
• A Class of Stochastic Games and Moving Free Boundary Problems
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