Décamps, Jean-Paul, Mariotti, Thomas and Gensbittel, Fabien (2024) Mixed Markov-Perfect Equilibria in the Continuous-Time War of Attrition. TSE Working Paper, n. 24-1562, Toulouse

[thumbnail of wp_tse_1562.pdf]
Preview
Text
Download (662kB) | Preview

Abstract

We prove the existence of a Markov-perfect equilibrium in randomized stopping times for a model of the war of attrition in which the underlying state variable follows a homogenous linear diffusion. We first prove that the space of Markovian randomized stopping times can be topologized as a compact absolute retract. This in turn enables us to use a powerful fixed-point theorem by Eilenberg and Montgomery [16] to prove our existence theorem. We illustrate our results with an example of a war of attrition that admits a mixed-strategy Markov-perfect equilibrium but no pure-strategy Markovperfect equilibrium.

Item Type: Monograph (Working Paper)
Language: English
Date: August 2024
Place of Publication: Toulouse
Uncontrolled Keywords: War of Attrition, Markovian Randomized Stopping Time, Markov-Perfect Equilibrium, Fixed-Point Theorem
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Institution: Université Toulouse Capitole
Site: UT1
Date Deposited: 28 Aug 2024 14:10
Last Modified: 22 Oct 2024 13:30
OAI Identifier: oai:tse-fr.eu:129668
URI: https://publications.ut-capitole.fr/id/eprint/49636
View Item

Downloads

Downloads per month over past year