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Gensbittel, Fabien and Grün, Christine (2017) Zero-sum stopping games with asymmetric information. TSE Working Paper, n. 17-859, Toulouse
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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: | Monograph (Working Paper) |
|---|---|
| Language: | English |
| Date: | November 2017 |
| Place of Publication: | Toulouse |
| Subjects: | B- ECONOMIE ET FINANCE |
| 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 |
| OAI Identifier: | oai:tse-fr.eu:32183 |
| URI: | https://publications.ut-capitole.fr/id/eprint/25744 |
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