Dynkin Games with Incomplete and Asymmetric Information

  title={Dynkin Games with Incomplete and Asymmetric Information},
  author={Tiziano De Angelis and Erik Ekstr{\"o}m and Kristoffer J. Glover},
  journal={Math. Oper. Res.},
We study the value and the optimal strategies for a two-player zero-sum optimal stopping game with incomplete and asymmetric information. In our Bayesian setup, the drift of the underlying diffusion process is unknown to one player (incomplete information feature), but known to the other one (asymmetric information feature). We formulate the problem and reduce it to a fully Markovian setup where the uninformed player optimises over stopping times and the informed one uses randomised stopping… 

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