Nash equilibrium in nonzero-sum games of optimal stopping for Brownian motion
DOI10.1017/APR.2017.8zbMATH Open1429.91079OpenAlexW2638344066MaRDI QIDQ5233176FDOQ5233176
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
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Brownian motionNash equilibriumoptimal stoppingdouble partial superharmonic characterisationnonzero-sum optimal stopping gameregular diffusionItô-Tanaka formuladouble smooth fit principle
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)
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- On a discrete-time non-zero-sum Dynkin problem with monotonicity
- Nonzero-sum games of optimal stopping for Markov processes
- Generalized Ito's formula and additive functionals of Brownian motion
Cited In (7)
- Recursive Construction of a Nash Equilibrium in a Two-Player Nonzero-Sum Stopping Game with Asymmetric Information
- Title not available (Why is that?)
- 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
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