Work

Stochastic nonzero-sum games: a new connection between singular control and optimal stopping

Year: 2018

Type: article

Abstract: In this paper we establish a new connection between a class of two-player nonzero-sum games of optimal stopping and certain two-player nonzero-sum games of singular control. We show that whenever a Nash equilibrium in the game of stopping is attained by hitting times at two separate boundaries, then such boundaries also trigger a Nash equilibrium in the game of singular control. Moreover, a differential link between the players' value functions holds across the two games.

Source: Advances in Applied Probability

DOI: 10.1017/apr.2018.17

Authors: Tiziano De Angelis, Giorgio Ferrari

Institutions: University of Leeds, Bielefeld University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

Funders: Deutsche Forschungsgemeinschaft, Engineering and Physical Sciences Research Council

Awards: Optimal Prediction in Local Electricity Markets, G542274445