Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/233227 
Year of Publication: 
2006
Series/Report no.: 
Discussion paper No. 11
Publisher: 
Aboa Centre for Economics (ACE), Turku
Abstract: 
We consider a class of Dynkin games in the case where the underlying process evolves according to a one-dimensional but otherwise general diffusion. We establish general conditions under which both the value and the saddle point equilibrium exist and under which the exercise boundaries characterizing the saddle point strategy can be explicitly characterized in terms of a pair of standard first order necessary conditions for optimality. We also analyze those cases where an extremal pair of boundaries exists and show that there are circumstances under which increased volatility may break up the existence of a saddle point.
Subjects: 
Dynkin games
linear diffusions
fundamental solutions
minimal excessive functions
JEL: 
C73
C72
C61
Document Type: 
Working Paper

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