Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/149022
Authors: 
De Angelis, Tiziano
Ferrari, Giorgio
Year of Publication: 
2016
Series/Report no.: 
Working Papers, Center for Mathematical Economics 565
Abstract: 
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.
Subjects: 
games of singular control
games of optimal stopping
Nash equilibrium
onedimensional diffusion
Hamilton-Jacobi-Bellman equation
verification theorem
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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