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Non-zero-sum stopping games in continuous time
[article]
2015
arXiv
pre-print
On a filtered probability space (Ω ,F, (F_t)_t∈[0,∞], P), we consider the two-player non-zero-sum stopping game u^i := E[U^i(ρ,τ)], i=1,2, where the first player choose a stopping strategy ρ to maximize u^1 and the second player chose a stopping strategy τ to maximize u^2. Unlike the Dynkin game, here we assume that U(s,t) is F_s∨ t-measurable. Assuming the continuity of U^i in (s,t), we show that there exists an ϵ-Nash equilibrium for any ϵ>0.
arXiv:1508.03921v1
fatcat:pg47xppz2fgbthepf24aurncs4