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arXiv · 1601.05709

Stochastic nonzero-sum games: a new connection between singular control and optimal stopping

Tiziano De Angelis·Giorgio Ferrari
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Abstract

In this paper we establish a new connection between a class of 2-player nonzero-sum 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.

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Tiziano De Angelis, Giorgio Ferrari. 2016-01-21. Stochastic nonzero-sum games: a new connection between singular control and optimal stopping. https://arxiv.org/abs/1601.05709

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