TY  - GEN
AB  - This paper analyses 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
(1974) [19], p. 108). We prove 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.
DA  - 2016
KW  - nonzero-sum Dynkin games
KW  - Nash equilibrium
KW  - smooth-fit principle
KW  - regular diffusions
KW  - free boundary problems
LA  - eng
PY  - 2016
SN  - 0931-6558
SP  - 24-
TI  - Nash equilibria of threshold type for two-player nonzero-sum games of stopping
UR  - https://nbn-resolving.org/urn:nbn:de:0070-pub-29047482
Y2  - 2024-11-24T02:57:16
ER  -