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

DOI10.1017/apr.2017.8zbMath1429.91079OpenAlexW2638344066MaRDI QIDQ5233176

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

optimal stoppingBrownian motionNash equilibriumItô-Tanaka formuladouble partial superharmonic characterisationnonzero-sum optimal stopping gameregular diffusiondouble smooth fit principle

Mathematics Subject Classification ID

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

Related Items (4)

Recursive Construction of a Nash Equilibrium in a Two-Player Nonzero-Sum Stopping Game with Asymmetric Information ⋮ Playing with ghosts in a Dynkin game ⋮ Nash equilibria of threshold type for two-player nonzero-sum games of stopping ⋮ Nonzero-Sum Games of Optimal Stopping and Generalized Nash Equilibrium Problems

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