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

2016/01/21 by Tiziano De Angelis, Giorgio Ferrari, De Angelis, Tiziano +1 · 4 citations
Economics, Econometrics and Finance · #Stochastic processes and financial applications #Economic theories and models #Climate Change Policy and Economics

paper · pdf · doi:10.48550/arxiv.1601.05709

Abstract

In this paper we establish a new connection between a class of 2-player\nnonzero-sum games of optimal stopping and certain 2-player nonzero-sum games\nof singular control. We show that whenever a Nash equilibrium in the game of\nstopping is attained by hitting times at two separate boundaries, then such\nboundaries also trigger a Nash equilibrium in the game of singular control.\nMoreover a differential link between the players' value functions holds across\nthe two games.\n

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