Dynkin Games with Incomplete and Asymmetric Information

@article{Angelis2018DynkinGW,
  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.},
  year={2018},
  volume={47},
  pages={560-586}
}
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… 
View PDF on arXiv
8 Citations
Background Citations
3

Figures from this paper

8 Citations

On the value of non-Markovian Dynkin games with partial and asymmetric information

We prove that zero-sum Dynkin games in continuous time with partial and asymmetric information admit a value in randomised stopping times when the stopping payoffs of the players are general cadlag…

Non-zero-sum optimal stopping game with continuous versus periodic observations

We introduce a new non-zero-sum game of optimal stopping with asymmetric information. Given a stochastic process modelling the value of an asset, one player has full access to the information and…

Exit Game With Private Information

. The timing of strategic exit is one of the most important but difficult business decisions, especially under competition and uncertainty. Motivated by this problem, we examine a stochastic game of…

Recursive Construction of a Nash Equilibrium in a Two-Player Nonzero-Sum Stopping Game with Asymmetric Information

  • R. Jacobovic
  • Economics
    SIAM Journal on Control and Optimization
  • 2022
We study a discrete-time finite-horizon two-players nonzero-sum stopping game where the filtration of Player 1 is richer than the filtration of Player 2. A major difficulty which is caused by the…

Optimal stopping games in models with various information flows

Abstract We study zero-sum optimal stopping games associated with perpetual convertible bonds in an extension of the Black-Merton-Scholes model with random dividends under various information flows.…

Playing with ghosts in a Dynkin game

Only Time Will Tell: Credible Dynamic Signaling

It is shown that informative and payoff-relevant signaling can occur even without commitment and without resorting to unreasonable off-path beliefs, and prices may be informative of product quality even if the seller cannot commit to future prices.

How to Detect a Salami Slicer: A Stochastic Controller-and-Stopper Game with Unknown Competition

We consider a stochastic game of control and stopping specified in terms of a process $X_t=-\theta \Lambda_t+W_t$, representing the holdings of Player 1, where $W$ is a Brownian motion, $\theta$ is a…

References

SHOWING 1-10 OF 44 REFERENCES

Zero-Sum Stopping Games with Asymmetric Information

A model of two-player, zero-sum, stopping games with asymmetric information is studied, showing the existence of a value in mixed stopping times and providing a variational characterization for the value as a function of the initial distribution of the Markov chains.

On Dynkin Games with Incomplete Information

It is shown that these games have a value which can be characterized as a viscosity solution to a fully nonlinear variational PDE and derive a dual representation of the value function in terms of a minimization procedure.

Continuous-Time Markov Games with Asymmetric Information

The proof of the existence of the value in the continuous-time model based on duality techniques is shown to be the unique solution of the same Hamilton–Jacobi equation with convexity constraints which characterized the limit value obtained in Cardaliaguet et al. (2016).

A Dynkin game with asymmetric information

We study a Dynkin game with asymmetric information. The game has a random expiry time, which is exponentially distributed and independent of the underlying process. The players have asymmetric…

A Dynkin Game on Assets with Incomplete Information on the Return

This paper characterize the existence of a Nash equilibrium in pure strategies in which each player stops at the hitting time of $(X,Y)$ to a set with moving boundary.

Differential Games with Asymmetric Information

This work proves that the game has a value and characterize this value in terms of dual solutions of some Hamilton-Jacobi equation, and explains how to adapt the results to differential games where the initial position is random.

Optimal investment under partial information

This work considers the problem of maximizing terminal utility in a model where asset prices are driven by Wiener processes, but where the various rates of returns are allowed to be arbitrary semimartingales and manages to provide a surprisingly explicit representation of the optimal terminal wealth as well as the optimal portfolio strategy.

Optimal dividends with partial information and stopping of a degenerate reflecting diffusion

We study the optimal dividend problem for a firm’s manager who has partial information on the profitability of the firm. The problem is formulated as one of singular stochastic control with partial…

Utility maximization with partial information

Repeated Games with Incomplete Information

During the height of the Cold War, between 1965 and 1968, Robert Aumann, Michael Maschler, and Richard Stearns collaborated on research on the dynamics of arms control negotiations that has since…