Center for Mathematical Economics Working Papers No. 565
Bielefeld University, Center for Mathematical Economics (IMW), Bielefeld
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.
games of singular control games of optimal stopping Nash equilibrium onedimensional diffusion Hamilton-Jacobi-Bellman equation verification theorem