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October 22 - 28, 2018

Zero-sum stopping games with asymmetric information

Gensbittel, Fabien and Grün, Christine (2018) Zero-sum stopping games with asymmetric information. Mathematics of Operations Research. (In Press)

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Official URL: http://tse-fr.eu/pub/32175

Abstract

We study a model of two-player, zero-sum, stopping games with asymmetric information. We assume that the payoff depends on two continuous-time Markov chains (X, Y), where X is only observed by player 1 and Y only by player 2, implying that the players have access to stopping times with respect to different filtrations. We show the existence of a value in mixed stopping times and provide a variational characterization for the value as a function of the initial distribution of the Markov chains. We also prove a verification theorem for optimal stopping rules which allows to construct optimal stopping times. Finally we use our results to solve explicitly two generic examples.

Item Type: Article
Language: English
Date: 2018
Refereed: Yes
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Site: UT1
Date Deposited: 16 May 2018 14:07
Last Modified: 16 May 2018 14:07
OAI ID: oai:tse-fr.eu:32175
URI: http://publications.ut-capitole.fr/id/eprint/25737

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