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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
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Working Paper

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