A Dynkin game with asymmetric information
: Jukka Lempa, Pekka Matomäki
: 2013
: Stochastics: An International Journal of Probability and Stochastic Processes
: 85
: 5
: 1
: 26
: 26
: 1744-2508
DOI: https://doi.org/10.1080/17442508.2012.655279
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.