Nash equilibria of threshold type for two-player nonzero-sum games of stopping
Nash equilibria of threshold type for two-player nonzero-sum games of stopping
复制标题
DOI：
10.1214/17-aap1301
复制
发表时间：
2015-08
期刊：
影响因子：
--
通讯作者：
T. Angelis;Giorgio Ferrari;J. Moriarty
中科院分区：
文献类型：
--
作者：
T. Angelis;Giorgio Ferrari;J. Moriarty
This paper analyses two-player nonzero-sum games of optimal stopping on a class of linear regular diffusions with not non-singular boundary behaviour (in the sense of It\^o and McKean (1974), p.\ 108). We provide sufficient conditions under which Nash equilibria are realised by each player stopping the diffusion at one of the two boundary points of an interval. The boundaries of this interval solve a system of algebraic equations. We also provide conditions sufficient for the uniqueness of the equilibrium in this class.
