TY  - GEN
AB  - In this paper we establish a new connection between a class of 2-player nonzerosum
games of optimal stopping and certain 2-player nonzero-sum games of singular control. We
show that whenever a Nash equilibrium in the game of stopping is attained by hitting times at
two separate boundaries, then such boundaries also trigger a Nash equilibrium in the game of
singular control. Moreover a differential link between the players' value functions holds across
the two games.
DA  - 2016
KW  - games of singular control
KW  - games of optimal stopping
KW  - Nash equilibrium
KW  - onedimensional diffusion
KW  - Hamilton-Jacobi-Bellman equation
KW  - verification theorem
LA  - eng
PY  - 2016
SN  - 0931-6558
SP  - 23-
TI  - Stochastic nonzero-sum games: a new connection between singular control and optimal stopping
UR  - https://nbn-resolving.org/urn:nbn:de:0070-pub-29047538
Y2  - 2024-11-22T12:36:55
ER  -