Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/149022 
Year of Publication: 
2016
Series/Report no.: 
Center for Mathematical Economics Working Papers No. 565
Publisher: 
Bielefeld University, Center for Mathematical Economics (IMW), Bielefeld
Abstract: 
In this paper we establish a new connection between a class of 2-player nonzerosum games of optimal stopping and certain 2-player nonzero-sum games of singular control. We show that whenever a Nash equilibrium in the game of stopping is attained by hitting times at two separate boundaries, then such boundaries also trigger a Nash equilibrium in the game of singular control. Moreover a differential link between the players' value functions holds across the two games.
Subjects: 
games of singular control
games of optimal stopping
Nash equilibrium
onedimensional diffusion
Hamilton-Jacobi-Bellman equation
verification theorem
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
433.41 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.