2019/05/16 by De Angelis, Tiziano, Ekström, Erik
#60G40 #60J60 #91A15 #FOS: Economics and business #FOS: Mathematics #General Economics (econ.GN) #Optimization and Control (math.OC) #Probability (math.PR)
paper · doi:10.48550/arxiv.1905.06564
We study a class of optimal stopping games (Dynkin games) of preemption type, with uncertainty about the existence of competitors. The set-up is well-suited to model, for example, real options in the context of investors who do not want to publicly reveal their interest in a certain business opportunity. We show that there exists a Nash equilibrium in randomized stopping times which is described explicitly in terms of the corresponding one-player game.