论文标题
在带有无序的回报流程的Dynkin游戏中
On Dynkin Games with Unordered Payoff Processes
论文作者
论文摘要
Dynkin游戏是一个零和随机停止游戏，在两个玩家之间都可以在任何时候停止游戏以获得可观察到的回报。通常，假定最大玩家的回报过程小于最小者的回报过程，而同时停止的收益过程在两者之间。在本文中，我们研究了一般的Dynkin游戏，其收益流程处于任意职位。在离散和连续的时间设置中，我们为在所有可能的子游戏中的纯粹策略nash equilibria和epsilon-optimal停止时间提供了必要和充分的条件。
A Dynkin game is a zero-sum, stochastic stopping game between two players where either player can stop the game at any time for an observable payoff. Typically the payoff process of the max-player is assumed to be smaller than the payoff process of the min-player, while the payoff process for simultaneous stopping is in between the two. In this paper, we study general Dynkin games whose payoff processes are in arbitrary positions. In both discrete and continuous time settings, we provide necessary and sufficient conditions for the existence of pure strategy Nash equilibria and epsilon-optimal stopping times in all possible subgames.
