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De Angelis, Tiziano
Ferrari, Giorgio
Moriarty, John
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Center for Mathematical Economics Working Papers 563
This paper analyses two-player nonzero-sum games of optimal stopping on a class of regular diffusions with singular boundary behaviour (in the sense of Itô and McKean (1974) [19], p. 108). We prove that Nash equilibria are realised by stopping the diffusion at the first exit time from suitable intervals whose boundaries solve a system of algebraic equations. Under mild additional assumptions we also prove uniqueness of the equilibrium.
nonzero-sum Dynkin games
Nash equilibrium
smooth-fit principle
regular diffusions
free boundary problems
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Working Paper

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