2020-10-26T19:07:39Zhttp://tse.rima1.fr/academ-xoai/oai2/puboai:tse-fr.eu:321752020-08-27T09:29:30Zut1tse:semestre_2_2018_EUREtse:publicationtse:noacknowledgementtse:group:mad
Zero-sum stopping games with asymmetric information
text
info:eu-repo/semantics/article
refereedJournalArticle
Gensbittel
Fabien
aut
Author
Auteur
GrĂ¼n
Christine
aut
Author
Auteur
2019
eng
English
anglais
born digital
Mathematics of Operations Research
text
refereedJournal
http://tse-fr.eu/pub/1742
44
1
277
302
10.1287/moor.2017.0924
http://tse-fr.eu/pub/32175
We study a model of two-player, zero-sum, stopping games with asymmetric information. We assume that the payoff depends on two independent continuous-time Markov chains, where the first Markov chain is only observed by player 1 and the second Markov chain is only observed by player 2, implying that the players have access to stopping times with respect to different filtrations. We show the existence of a value in mixed stopping times and provide a variational characterization for the value as a function of the initial distribution of the Markov chains. We also prove a verification theorem for optimal stopping rules, which allows to construct optimal stopping times. Finally we use our results to solve explicitly two generic examples.
http://tse-fr.eu/pub/32175
Toulouse School of Economics
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eng
English
anglais