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On a discrete-time non-zero-sum Dynkin problem with monotonicity

Published online by Cambridge University Press:  14 July 2016

Yoshio Ohtsubo
Yoshio Ohtsubo*
Affiliation:
Kyushu Institute of Technology
*
∗Postal address: Department of Electric, Electronic and Computer Engineering, Kyushu Institute of Technology, Tobata, Kitakyushu 804, Japan.
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Abstract

We consider a monotone case of the non-zero-sum stopping game with discrete time parameter which is called the Dynkin problem. Marner (1987) has investigated a stopping game with general monotone reward structures, but his monotonicity is too strong to apply our problem. We establish that there exists an explicit equilibrium point in our monotone case. We also give a simple example applicable to a duopolistic exit game.

Keywords

STOPPING GAMEDYNKIN PROBLEMEQUILIBRIUM POINTMONOTONE CASE

Information

Type
Short Communications
Information
Journal of Applied Probability , Volume 28 , Issue 2 , June 1991, pp. 466 - 472
Copyright
Copyright © Applied Probability Trust 1991 

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References

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