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Randomized stopping games and Markov market games

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  • Elżbieta Ferenstein

Abstract

We study nonzero-sum stopping games with randomized stopping strategies. The existence of Nash equilibrium and ɛ-equilibrium strategies are discussed under various assumptions on players random payoffs and utility functions dependent on the observed discrete time Markov process. Then we will present a model of a market game in which randomized stopping times are involved. The model is a mixture of a stochastic game and stopping game. Copyright Springer-Verlag 2007

Suggested Citation

  • Elżbieta Ferenstein, 2007. "Randomized stopping games and Markov market games," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 66(3), pages 531-544, December.
    • Handle: RePEc:spr:mathme:v:66:y:2007:i:3:p:531-544
    DOI: 10.1007/s00186-006-0143-8
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    References listed on IDEAS

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    1. Duffie, Darrell, et al, 1994. "Stationary Markov Equilibria," Econometrica, Econometric Society, vol. 62(4), pages 745-781, July.
    2. Eilon Solan & Nicholas Vieille, 2001. "Quitting Games - An Example," Discussion Papers 1314, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    3. Nowak, Andrzej S. & Szajowski, Krzysztof, 1998. "Nonzero-sum Stochastic Games," MPRA Paper 19995, University Library of Munich, Germany, revised 1999.
    4. Dinah Rosenberg & Eilon Solan & Nicolas Vieille, 1999. "Stopping Games with Randomized Strategies," Discussion Papers 1258, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    5. repec:dau:papers:123456789/6017 is not listed on IDEAS
    6. Ioannis Karatzas & Martin Shubik & William D. Sudderth, 1994. "Construction of Stationary Markov Equilibria in a Strategic Market Game," Mathematics of Operations Research, INFORMS, vol. 19(4), pages 975-1006, November.
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    Cited by:

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    2. Boyarchenko, Svetlana & Levendorskiĭ, Sergei, 2014. "Preemption games under Lévy uncertainty," Games and Economic Behavior, Elsevier, vol. 88(C), pages 354-380.
    3. Wei, Qingda, 2019. "Nonzero-sum risk-sensitive finite-horizon continuous-time stochastic games," Statistics & Probability Letters, Elsevier, vol. 147(C), pages 96-104.
    4. Said Hamadène & Mohammed Hassani, 2014. "The multi-player nonzero-sum Dynkin game in discrete time," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 79(2), pages 179-194, April.
    5. Zhang, Heng & Yang, Ming & Bao, Jiye & Gong, Pu, 2013. "Competitive investing equilibrium under a procurement mechanism," Economic Modelling, Elsevier, vol. 31(C), pages 734-738.
    6. Michael Ludkovski, 2010. "Stochastic Switching Games and Duopolistic Competition in Emissions Markets," Papers 1001.3455, arXiv.org, revised Aug 2010.
    7. Nie, Tianyang & Rutkowski, Marek, 2014. "Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection," Stochastic Processes and their Applications, Elsevier, vol. 124(8), pages 2672-2698.

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