Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/149020
Authors: 
De Angelis, Tiziano
Ferrari, Giorgio
Moriarty, John
Year of Publication: 
2016
Series/Report no.: 
Working Papers, Center for Mathematical Economics 563
Abstract: 
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.
Subjects: 
nonzero-sum Dynkin games
Nash equilibrium
smooth-fit principle
regular diffusions
free boundary problems
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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