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Décamps, Jean-Paul
, Gensbittel, Fabien
and Mariotti, Thomas
(2025)
Mixed Markov-Perfect Equilibria in the Continuous-Time War of Attrition.
TSE Working Paper, n. 24-1562, Toulouse
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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 [22] 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: | 18 July 2025 |
| 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: | 02 Feb 2026 09:15 |
| OAI Identifier: | oai:tse-fr.eu:129668 |
| URI: | https://publications.ut-capitole.fr/id/eprint/49636 |
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