scholarly journals Non-Zero-Sum Stopping Games in Continuous Time

2015 ◽  
Author(s):  
Zhou Zhou
Keyword(s):  
Continuous Time ◽  
Zero Sum ◽  
Stopping Games

scholarly journals The Value of Zero-Sum Stopping Games in Continuous Time

2005 ◽  
Vol 43 (5) ◽  
pp. 1913-1922 ◽  
Author(s):  
Rida Laraki ◽  
Eilon Solan
Keyword(s):  
Continuous Time ◽  
Zero Sum ◽  
Stopping Games

Bias and overtaking equilibria for zero-sum continuous-time Markov games

2005 ◽  
Vol 61 (3) ◽  
pp. 437-454 ◽  
Author(s):  
Tomás Prieto-Rumeau ◽  
Onésimo Hernández-Lerma
Keyword(s):  
Continuous Time ◽  
Markov Games ◽  
Zero Sum

scholarly journals Zero-sum continuous-time Markov games with unbounded transition and discounted payoff rates

Bernoulli ◽  
2005 ◽  
Vol 11 (6) ◽  
pp. 1009-1029 ◽  
Author(s):  
Xianping Guo ◽  
Onésimo Hernández-Lerma
Keyword(s):  
Continuous Time ◽  
Markov Games ◽  
Zero Sum

scholarly journals Nonzero-sum games for continuous-time Markov chains with unbounded discounted payoffs

2005 ◽  
Vol 42 (2) ◽  
pp. 303-320 ◽  
Author(s):  
Xianping Guo ◽  
Onésimo Hernández-Lerma
Keyword(s):  
Markov Chains ◽  
Continuous Time ◽  
Queueing System ◽  
Transition Rates ◽  
Markov Game ◽  
Continuous Time Markov Chains ◽  
Payoff Functions ◽  
Zero Sum ◽  
Action Spaces ◽  
Uniformly Bounded

In this paper, we study two-person nonzero-sum games for continuous-time Markov chains with discounted payoff criteria and Borel action spaces. The transition rates are possibly unbounded, and the payoff functions might have neither upper nor lower bounds. We give conditions that ensure the existence of Nash equilibria in stationary strategies. For the zero-sum case, we prove the existence of the value of the game, and also provide arecursiveway to compute it, or at least to approximate it. Our results are applied to a controlled queueing system. We also show that if the transition rates areuniformly bounded, then a continuous-time game is equivalent, in a suitable sense, to a discrete-time Markov game.

scholarly journals Dynkin games with heterogeneous beliefs

2017 ◽  
Vol 54 (1) ◽  
pp. 236-251 ◽  
Author(s):  
Erik Ekström ◽  
Kristoffer Glover ◽  
Marta Leniec
Keyword(s):  
Optimal Stopping ◽  
Nash Equilibria ◽  
Heterogeneous Beliefs ◽  
Stopping Times ◽  
Value Functions ◽  
Natural Conditions ◽  
Dynkin Games ◽  
Zero Sum ◽  
Stopping Games ◽  
The Given

AbstractWe study zero-sum optimal stopping games (Dynkin games) between two players who disagree about the underlying model. In a Markovian setting, a verification result is established showing that if a pair of functions can be found that satisfies some natural conditions then a Nash equilibrium of stopping times is obtained, with the given functions as the corresponding value functions. In general, however, there is no uniqueness of Nash equilibria, and different equilibria give rise to different value functions. As an example, we provide a thorough study of the game version of the American call option under heterogeneous beliefs. Finally, we also study equilibria in randomized stopping times.

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