Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/121348 
Year of Publication: 
2015
Series/Report no.: 
Center for Mathematical Economics Working Papers No. 543
Publisher: 
Bielefeld University, Center for Mathematical Economics (IMW), Bielefeld
Abstract: 
We construct subgame-perfect equilibria with mixed strategies for symmetric stochastic timing games with arbitrary strategic incentives. The strategies are qualitatively different for local first- or second-mover advantages, which we analyse in turn. When there is a local second-mover advantage, the players may conduct a war of attrition with stopping rates that we characterize in terms of the Snell envelope from the general theory of optimal stopping, which is very general but provides a clear interpretation. With a local first-mover advantage, stopping typically results from preemption and is abrupt. Equilibria may differ in the degree of preemption, precisely at which points it is triggered. We provide an algorithm to characterize where preemption is inevitable and to establish the existence of corresponding payoff-maximal symmetric equilibria.
Subjects: 
Stochastic timing games
mixed strategies
subgame perfect equilibrium
Snell envelope
optimal stopping
JEL: 
C61
C73
D21
L12
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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