Dynkin games with heterogeneous beliefs

Publication Type:
Journal Article
Journal of Applied Probability, 2017, 54 (1), pp. 236 - 251
Issue Date:
Full metadata record
Copyright © 2017 Applied Probability Trust. We study zero-sum optimal stopping games (Dynkin games) between two players who disagree about the underlying model. In a Markovian setting, a verification result is established showing that if a pair of functions can be found that satisfies some natural conditions then a Nash equilibrium of stopping times is obtained, with the given functions as the corresponding value functions. In general, however, there is no uniqueness of Nash equilibria, and different equilibria give rise to different value functions. As an example, we provide a thorough study of the game version of the American call option under heterogeneous beliefs. Finally, we also study equilibria in randomized stopping times.
Please use this identifier to cite or link to this item: