A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä
A Dynkin game with asymmetric information




Julkaisun tekijät: Jukka Lempa, Pekka Matomäki
Julkaisuvuosi: 2013
Journal: Stochastics: An International Journal of Probability and Stochastic Processes
Volyymi: 85
Julkaisunumero: 5
Sivujen määrä: 26

Tiivistelmä

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 information on the expiry time, namely only one of the players is able to observe its occurrence. We propose a set of conditions under which we solve the saddle point equilibrium and study the implications of the information asymmetry. Results are illustrated with an explicit example.



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Last updated on 2019-29-01 at 17:33