TY  - GEN
AB  - We introduce a notion of subgames for stochastic timing games and the related
notion of subgame-perfect equilibrium in possibly mixed strategies. While a good notion of
subgame-perfect equilibrium for continuous-time games is not available in general, we argue
that our model is the appropriate version for timing games. We show that the notion coincides
with the usual one for discrete-time games. Many timing games in continuous time have only
equilibria in mixed strategies – in particular preemption games, which often occur in the
strategic real option literature. We provide a sound foundation for some workhorse equilibria
of that literature, which has been lacking as we show. We obtain a general constructive
existence result for subgame-perfect equilibria in preemption games and illustrate our findings
by several explicit applications.
DA  - 2014
KW  - timing games
KW  - stochastic games
KW  - mixed strategies
KW  - subgame-perfect equilibrium in continuous time
KW  - optimal stopping
LA  - eng
PY  - 2014
SN  - 0931-6558
SP  - 28-
TI  - Subgame-Perfect Equilibria in Stochastic Timing Games
UR  - https://nbn-resolving.org/urn:nbn:de:0070-pub-26987738
Y2  - 2024-11-22T16:08:57
ER  -