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Zero-sum stopping games with asymmetric information

Gensbittel, Fabien and Grün, Christine (2017) Zero-sum stopping games with asymmetric information. TSE Working Paper, n. 17-859, Toulouse

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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: Monograph (Working Paper)
Language: English
Date: November 2017
Place of Publication: Toulouse
Divisions: TSE-R (Toulouse)
Institution: Université Toulouse 1 Capitole
Site: UT1
Date Deposited: 17 Apr 2018 07:52
Last Modified: 17 Apr 2018 07:52
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