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A controller-stopper-game with hidden controller type

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  • Bodnariu, Andi
  • Lindensjö, Kristoffer

Abstract

We consider a continuous time stochastic dynamic game between a stopper (the owner of an asset) and a controller (the manager) who is either effective or non-effective. An effective manager can exert high or low effort which corresponds to a high or a low positive drift for the accumulated income of the owner with random noise in terms of Brownian motion. The manager earns a salary until the owner stops the game. A non-effective manager cannot act but receives a salary. We find a threshold (Nash) equilibrium using stochastic filtering methods in a weak formulation.

Suggested Citation

  • Bodnariu, Andi & Lindensjö, Kristoffer, 2024. "A controller-stopper-game with hidden controller type," Stochastic Processes and their Applications, Elsevier, vol. 173(C).
    • Handle: RePEc:eee:spapps:v:173:y:2024:i:c:s030441492400067x
    DOI: 10.1016/j.spa.2024.104361
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    References listed on IDEAS

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