Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/100527
Authors: 
Seel, Christian
Stracky, Philipp
Year of Publication: 
2014
Series/Report no.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2014: Evidenzbasierte Wirtschaftspolitik - Session: Game Theory and Welfare Economics B12-V1
Abstract: 
This paper introduces a class of contest models in which each player decides when to stop a privately observed Brownian motion with drift and incurs costs depending on his stopping time. The player who stops his process at the highest value wins a prize. We prove existence and uniqueness of a Nash equilibrium outcome and derive the equilibrium distribution in closed form. As the variance tends to zero, the equilibrium outcome converges to the symmetric equilibrium of an all-pay auction. For two players and constant costs, each player's equilibrium pro fit decreases if the drift increases, the variance decreases, or the costs increase.
JEL: 
C72
C73
D44
Document Type: 
Conference Paper

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