Nash equilibria of threshold type for two-player nonzero-sum games of stopping

Speaker(s): 
Giorgio Ferrari (Universität Bielefeld)
Date: 
Thursday, December 17, 2015 - 5:15pm
Location: 
HU Berlin, Rudower Chaussee 25, Room 1.115

In this talk I consider two-player nonzero-sum games of optimal stopping on a class of regular diffusions with singular boundary behaviour (in the sense of Itô and McKean, p. 108). I show that Nash equilibria are realised by stopping the diffusion at the first exit time from suitable intervals whose boundaries solve a system of algebraic equations. Under mild additional assumptions we also prove uniqueness of the equilibrium. Finally, I discuss some recent results on the connection between two-player nonzero-sum games of optimal stopping and a certain class of two-player nonzero-sum games of singular control.

The first part of the talk is based on a joint work with Tiziano De Angelis and John Moriarty. The last part of the talk is based on an ongoing project with Tiziano De Angelis.