Nash equilibrium in nonzero-sum games of optimal stopping for Brownian motion

DOI10.1017/APR.2017.8MaRDI QIDQ5233176zbMATH OpenOpenAlexFDO

Authors Natalie Attard

Publication date 16 September 2019

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

Full work available at URL https://doi.org/10.1017/apr.2017.8

zbMATH Keywords

Brownian motionNash equilibriumoptimal stoppingdouble partial superharmonic characterisationnonzero-sum optimal stopping gameregular diffusionItô-Tanaka formuladouble smooth fit principle

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Stopping times; optimal stopping problems; gambling theory (60G40) Games of timing (91A55)

Recommendations

• Optimal stopping games and Nash equilibrium
• Nash equilibria of threshold type for two-player nonzero-sum games of stopping
• Nonzero-sum games of optimal stopping and generalized Nash equilibrium problems
• Nash-equilibrium in stochastic differential games
• Nonzero-sum games of optimal stopping for Markov processes

Cites work

• scientific article; zbMATH DE number 6099237 (Why is no real title available?)
• scientific article; zbMATH DE number 3425889 (Why is no real title available?)
• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 2078181 (Why is no real title available?)
• scientific article; zbMATH DE number 3215021 (Why is no real title available?)
• A Nonzero-Sum Extension of Dynkin's Stopping Problem
• Continuous Time Stopping Games with Monotone Reward Structures
• Equilibrium in two-player non-zero-sum Dynkin games in continuous time
• Existence of a quasi-markov nash equilibrium for non-zero sum markov stopping games
• Generalized Ito's formula and additive functionals of Brownian motion
• Non zero-sum stopping games of symmetric Markov processes
• Non-zero-sum discrete parameter stochastic games with stopping times
• Nonzero-Sum Stochastic Differential Games With Stopping Times and Free Boundary Problems
• Nonzero-sum games of optimal stopping for Markov processes
• On a discrete-time non-zero-sum Dynkin problem with monotonicity
• On the value of optimal stopping games
• Optimal stopping games and Nash equilibrium
• The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options
• Two-player nonzero-sum stopping games in discrete time.

Cited in

(7)

• Recursive Construction of a Nash Equilibrium in a Two-Player Nonzero-Sum Stopping Game with Asymmetric Information
• scientific article; zbMATH DE number 67293 (Why is no real title available?)
• Nash equilibria of threshold type for two-player nonzero-sum games of stopping
• Optimal stopping games and Nash equilibrium
• Nonzero-sum games of optimal stopping and generalized Nash equilibrium problems
• Nash equilibrium and the Legendre transform in optimal stopping games with one dimensional diffusions
• Playing with ghosts in a Dynkin game

This page was built for publication: Nash equilibrium in nonzero-sum games of optimal stopping for Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5233176)