Non-Zero-Sum Stopping Games in Continuous Time

10 Pages Posted: 21 Aug 2015

See all articles by Zhou Zhou

Zhou Zhou

The University of Sydney

Date Written: August 16, 2015

Abstract

We consider a two-player non-zero-sum stopping game in which the payoff of each player is revealed when both players stop, instead of it being revealed after the first player's stopping time. Such problems appear in the context of economics and finance, e.g., when two company try to choose good times to enter or leave the market, or when two investors try to maximize their own utilities in the case that each player sells one American option to the other.

Keywords: Non-zero-sum, stopping games, epsilon-Nash equilibrium

Suggested Citation

Zhou, Zhou, Non-Zero-Sum Stopping Games in Continuous Time (August 16, 2015). Available at SSRN: https://ssrn.com/abstract=2646793 or http://dx.doi.org/10.2139/ssrn.2646793

Zhou Zhou (Contact Author)

The University of Sydney ( email )

University of Sydney
Sydney, NSW 2006
Australia

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