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De Angelis, Tiziano, Gensbittel, Fabien
and Villeneuve, Stéphane
(2023)
Nash equilibria for dividend distribution with competition.
TSE Working Paper, n. 23-1495, Toulouse
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Abstract
We construct Nash equilibria in feedback form for a class of two-person stochastic games of singular control with absorption, arising from a stylized model for corporate finance. More precisely, the paper focusses on a strategic dynamic game in which two financially-constrained firms operate in the same market. The firms distribute dividends and are faced with default risk. The strategic interaction arises from the fact that if one firm defaults, the other one becomes a monopolist and increases its profitability. The firms choose their dividend distribution policies from a class of randomised strategies and we identify two types of equilibria, depending on the firms’ initial endowments. In both situations the optimal strategies and the equilibrium payoffs are found explicitly.
| Item Type: | Monograph (Working Paper) |
|---|---|
| Language: | English |
| Date: | December 2023 |
| Place of Publication: | Toulouse |
| Uncontrolled Keywords: | Singular controls, nonzero-sum games, Nash Equilibrium, dividend problem, free boundary problems, randomised strategies |
| Subjects: | B- ECONOMIE ET FINANCE |
| Divisions: | TSE-R (Toulouse) |
| Institution: | Université Toulouse Capitole |
| Site: | UT1 |
| Date Deposited: | 14 Dec 2023 08:11 |
| Last Modified: | 04 Nov 2025 12:43 |
| OAI Identifier: | oai:tse-fr.eu:128772 |
| URI: | https://publications.ut-capitole.fr/id/eprint/48450 |
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