scholarly journals Optimal Stopping Games and Nash Equilibrium

2008 ◽  
Vol 53 (3) ◽  
pp. 623-638 ◽  
Author(s):  
Goran Peskir ◽  
Goran Peskir
Keyword(s):  
Nash Equilibrium ◽  
Optimal Stopping ◽  
Stopping Games

Monotone stopping games

1987 ◽  
Vol 24 (02) ◽  
pp. 386-401 ◽  
Author(s):  
John W. Mamer
Keyword(s):  
Nash Equilibrium ◽  
Optimal Stopping ◽  
Nash Equilibria ◽  
Stopping Times ◽  
Optimal Stopping Problem ◽  
Optimal Stopping Problems ◽  
Zero Sum ◽  
Stopping Games

We consider the extension of optimal stopping problems to non-zero-sum strategic settings called stopping games. By imposing a monotone structure on the pay-offs of the game we establish the existence of a Nash equilibrium in non-randomized stopping times. As a corollary, we identify a class of games for which there are Nash equilibria in myopic stopping times. These games satisfy the strategic equivalent of the classical ‘monotone case' assumptions of the optimal stopping problem.

Monotone stopping games

1987 ◽  
Vol 24 (2) ◽  
pp. 386-401 ◽  
Author(s):  
John W. Mamer
Keyword(s):  
Nash Equilibrium ◽  
Optimal Stopping ◽  
Nash Equilibria ◽  
Stopping Times ◽  
Optimal Stopping Problem ◽  
Optimal Stopping Problems ◽  
Zero Sum ◽  
Stopping Games

We consider the extension of optimal stopping problems to non-zero-sum strategic settings called stopping games. By imposing a monotone structure on the pay-offs of the game we establish the existence of a Nash equilibrium in non-randomized stopping times. As a corollary, we identify a class of games for which there are Nash equilibria in myopic stopping times. These games satisfy the strategic equivalent of the classical ‘monotone case' assumptions of the optimal stopping problem.

scholarly journals Dynkin's Games and Israeli Options

2013 ◽  
Vol 2013 ◽  
pp. 1-17 ◽  
Author(s):  
Yuri Kifer
Keyword(s):  
Transaction Costs ◽  
Error Estimates ◽  
Optimal Stopping ◽  
Derivative Securities ◽  
Discrete Approximations ◽  
Game Options ◽  
Related Derivative ◽  
Stopping Games

We start by briefly surveying a research on optimal stopping games since their introduction by Dynkin more than 40 years ago. Recent renewed interest to Dynkin’s games is due, in particular, to the study of Israeli (game) options introduced in 2000. We discuss the work on these options and related derivative securities for the last decade. Among various results on game options we consider error estimates for their discrete approximations, swing game options, game options in markets with transaction costs, and other questions.

Optimal Stopping Games for Markov Processes

2008 ◽  
Vol 47 (2) ◽  
pp. 684-702 ◽  
Author(s):  
Erik Ekström ◽  
Goran Peskir
Keyword(s):  
Markov Processes ◽  
Optimal Stopping ◽  
Stopping Games

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.

scholarly journals On Zero-Sum Optimal Stopping Games

2017 ◽  
Vol 78 (3) ◽  
pp. 457-468
Author(s):  
Erhan Bayraktar ◽  
Zhou Zhou
Keyword(s):  
Optimal Stopping ◽  
Zero Sum ◽  
Stopping Games
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