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A harmonic function approach to Nash-equilibria of Kifer-type stopping games

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  • Lerche Hans Rudolf
  • Stich Dominik

Abstract

In this paper we give sufficient conditions for solving two-person zero sum stopping games. These are games where the strategy set of the two players are stopping times of a diffusion X. Our method is based on the study of harmonic functions for the diffusion and it is similar to the approach of solving optimal stopping problems developed in [2]–[4], and [12].

Suggested Citation

  • Lerche Hans Rudolf & Stich Dominik, 2013. "A harmonic function approach to Nash-equilibria of Kifer-type stopping games," Statistics & Risk Modeling, De Gruyter, vol. 30(2), pages 169-180, June.
    • Handle: RePEc:bpj:strimo:v:30:y:2013:i:2:p:169-180:n:4
    DOI: 10.1524/strm.2013.1137
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    References listed on IDEAS

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    1. Andreas Kyprianou, 2004. "Some calculations for Israeli options," Finance and Stochastics, Springer, vol. 8(1), pages 73-86, January.
    2. Yuri Kifer, 2000. "Game options," Finance and Stochastics, Springer, vol. 4(4), pages 443-463.
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    Keywords

    stochastic games; Israeli options;

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